--------------------------------------------------------------------------------------------------------------------------
      name:  <unnamed>
       log:  C:/yourdirectory/logs/estimation.log
  log type:  text
 opened on:  18 Jun 2016, 19:07:53

. 
. set more off

. set matsize 1000

. 
. 
. *_______________________________________________________________________________
. 
. 
. * Initialize
. 
. local covarlist reSP reLib reTnote reCR reBDI  /* covariates: don't include CL here because will vary by contract */

. local covarfilelist SP Lib Tnote10 CR BDI  /* covariates: don't include CL here because will vary by contract */

. 
. local specif_list "base nocovar garch compositeindex"  /* specifications to run; "base" should always come first */

. * possibilities: base, nocovar, garch compositeindex
. 
. local specif_list_tex "base nocovar garch"  /* specifications want to use in standard TeX documents */

. 
. local event_list "graham"  /* should read graham, but can set to "test" when want only one loop */

. 
. local autocorrel_check 1  /* =1: check for autocorrelation; =0: don't */

. 
. 
. * These estimation window names are from old code; below we convert them into total trading days
. local estwindow_list_graham "2 12" /* estimation windows, in months */ 

. 
. * Estimation windows in terms of trading days
. local tradedays_2mo "60"

. local tradedays_12mo "200"

. 
. local commod_list_graham_2mo "QL NG"  /* commodities */

. local commod_list_graham_12mo "QL NG"  /* commodities */

. 
. local year_list_graham "2010 2011 2012" /* contract years to loop through for this event */

. 
. * Trading date of event day (e.g., Monday after weekend event) and surrounding days
. local date_graham "04/26/2010"

. local datebefore_graham "04/23/2010"

. local dateafter_graham "04/27/2010"

. 
. * Define liquid contracts for each commodity in 2-month estimation window, making sure first two characters match commod
> s variable
. local QL2010liquid_2mo_graham "N Q U V X Z"

. local QL2011liquid_2mo_graham "F G H J K M N Q U V X Z"

. local QL2012liquid_2mo_graham ""

. local NG2010liquid_2mo_graham "N Q U V X Z"

. local NG2011liquid_2mo_graham "F G H J K M N Q U V X Z"

. local NG2012liquid_2mo_graham "F G H J"

. 
. * Define liquid contracts for each commodity in 12-month estimation window, making sure first two characters match commo
> ds variable
. local QL2010liquid_12mo_graham "V X Z"

. local QL2011liquid_12mo_graham "F G H J K M N Q U V X Z"

. local QL2012liquid_12mo_graham ""

. local NG2010liquid_12mo_graham "V X Z"

. local NG2011liquid_12mo_graham "F G H J K M N Q U V X Z"

. local NG2012liquid_12mo_graham "F G H J"

. 
. * First contract will use
. local first_year_graham "2010"

. local first_month_2mo_graham "N"

. local first_month_12mo_graham "V"

. 
. * Testing code
. local estwindow_list_test "2" /* estimation windows, in months */ 

. local commod_list_test_2mo "QL"  /* commodities */

. local commod_list_test_12mo "QL"  /* commodities */

. local year_list_test "2010" /* contract years to loop through for this event */

. local date_test "04/26/2010"

. local datebefore_test "04/23/2010"

. local dateafter_test "04/27/2010"

. local QL2010liquid_2mo_test "N Q U V X Z"

. local QL2010liquid_12mo_test "V X Z"

. local first_year_test "2010"

. local first_month_2mo_test "N"

. local first_month_12mo_test "V"

. 
. *_______________________________________________________________________________
. 
. * Begin looping
. 
. foreach event of local event_list { /* loop through events */
  2. 
. foreach estwindow of local estwindow_list_`event' { /* loop through estimation windows */
  3. 
. estimates clear
  4. 
. foreach commod of local commod_list_`event'_`estwindow'mo {  /* loop through commodities */
  5. 
. foreach specif of local specif_list{  /* loop through specifications */
  6. 
. use "`contract_input'/`commod'fut/`commod'`first_year_`event''`first_month_`estwindow'mo_`event''.dta", clear
  7. 
. local contract_tracker = 0  /* reset tracker */
  8. 
. foreach contract_year of local year_list_`event' { /* loop through contract years */
  9. 
. foreach contract_month of local `commod'`contract_year'liquid_`estwindow'mo_`event' {  /* loop through contract months *
> /
 10. 
. 
. local contract_tracker = `contract_tracker' + 1
 11. 
. 
. * Get numeric year code for this contract month
. local month_counter 1
 12. foreach month_code in F G H J K M N Q U V X Z {
 13.         if "`contract_month'"=="`month_code'" {
 14.                 local contract_number `month_counter'
 15.         }
 16.         local month_counter = `month_counter'+1 
 17. }
 18. if `contract_number' < 10 {  /* add 0 to front of single digits */
 19.         local contract_number "0`contract_number'"
 20. }
 21. *display "`contract_number'"
. 
. 
. 
. if "`first_year_`event''`first_month_`estwindow'mo_`event''"~="`contract_year'`contract_month'" {  /* not first time thr
> ough */
 22.         quietly merge 1:1 time using "`contract_input'/`commod'fut/`commod'`contract_year'`contract_month'.dta", gen 
> (d`commod'`contract_year'`contract_month')
 23.         drop if d`commod'`contract_year'`j'~=3
 24.         drop d`commod'`contract_year'`contract_month'
 25.         
.         * Add this contract's CL covariate
.         if "`specif'" ~= "nocovar" {
 26.                 quietly merge 1:1 time using "`contract_input'/clfut/CL`contract_year'`contract_month'.dta", gen (dCL
> `contract_year'`contract_month')
 27.                 drop if dCL`contract_year'`contract_month'~=3
 28.                 drop dCL`contract_year'`contract_month'
 29.         }
 30.         
. }
 31. else {  /* first time through */
 32.         
.         * Define event window
. 
.         gen dummy_eventday = 1 if date == "`date_`event''"
 33.         replace dummy_eventday = 0 if missing(dummy_eventday)
 34.         
.         gen dummy_daybefore = 1 if date == "`datebefore_`event''"
 35.         replace dummy_daybefore = 0 if missing(dummy_daybefore)
 36.                 
.         gen dummy_dayafter = 1 if date == "`dateafter_`event''"
 37.         replace dummy_dayafter = 0 if missing(dummy_dayafter)
 38. 
.         * Add covariates
.         if "`specif'" ~= "nocovar" {
 39.                 foreach covarfile of local covarfilelist {
 40.                         quietly merge 1:1 time using "`covar_input'/`covarfile'.dta", gen (d`covarfile')
 41.                         drop if d`covarfile'~=3
 42.                         drop d`covarfile'
 43.                 }
 44.                 quietly merge 1:1 time using "`contract_input'/clfut/CL`contract_year'`contract_month'.dta", gen (dCL
> `contract_year'`contract_month')
 45.                 drop if dCL`contract_year'`contract_month'~=3
 46.                 drop dCL`contract_year'`contract_month'
 47.         }
 48.         
.         gen counter = _n
 49.         gen estimation_window = 0 /* placeholder */
 50.         gen days_from_event = 0 /* placeholder */
 51. }
 52. 
. 
. * generate counter for time variable; note that can differ for different covariates b/c e.g., LIBOR has British bank hol
> idays
. * returns have already been calculated in loaded files, though, using their own tsset data
. sort time
 53. replace counter = _n
 54. tsset counter
 55. 
. 
. /* Estimation window */ 
. gen target = counter if date == "`date_`event''"
 56. egen event_day_count = min(target)
 57. replace days_from_event = counter - event_day_count
 58. replace estimation_window = 1 if abs(days_from_event)<=((`tradedays_`estwindow'mo'/2)+1) /* add 1 because event windo
> w includes day before and after */
 59. replace estimation_window = 0 if estimation_window == .
 60. *keep if estimation_window == 1  /* drop if outside of estimation window */
. drop event_day_count target
 61. 
. 
. 
. 
. 
. 
. if "`specif'" == "base" {
 62.         
.         gen unlog`commod'`contract_year'`contract_month' = exp(re`commod'`contract_year'`contract_month') - 1
 63.         
.         if `autocorrel_check' == 1 {
 64.                 quietly regress re`commod'`contract_year'`contract_month' dummy_eventday dummy_daybefore dummy_dayaft
> er `covarlist' reCL`contract_year'`contract_month'  if estimation_window==1
 65.                 estat dwatson
 66.         }
 67.         
.         ivreg2 re`commod'`contract_year'`contract_month' dummy_eventday dummy_daybefore dummy_dayafter `covarlist' reCL`
> contract_year'`contract_month'  if estimation_window==1, kernel(bartlett) bw(auto) small        
 68.         
. }
 69. else if "`specif'" == "nocovar" {
 70. 
.         ivreg2 re`commod'`contract_year'`contract_month' dummy_eventday dummy_daybefore dummy_dayafter if estimation_win
> dow==1, kernel(bartlett) bw(auto) small
 71. 
. }
 72. else if "`specif'" == "garch" {
 73. 
.         arch re`commod'`contract_year'`contract_month' dummy_eventday dummy_daybefore dummy_dayafter `covarlist' reCL`co
> ntract_year'`contract_month' if estimation_window==1, arch(1) garch(1) vce(robust) distribution(t) from(archb0 armab0) n
> onrtolerance ltolerance(1e-4) gradient gtolerance(999) /* trace */
 74. 
. }
 75. else if "`specif'" == "compositeindex" {
 76.         
.         * Don't include dummies in this regression
.         regress re`commod'`contract_year'`contract_month' `covarlist' reCL`contract_year'`contract_month'  if estimation
> _window==1
 77. 
.         * Save these for plotting and for composite index test
.         /*
>         predict resid_`commod'_`contract_year'`contract_month'  if estimation_window==1, residual
>         drop if resid_`commod'_`contract_year'`contract_month' == .
>         egen std_resid_`commod'_`contract_year'`contract_month'  = std(resid_`commod'_`contract_year'`contract_month' )
>         */
. }
 78. 
. 
. ****** Store estimates *************
. 
. 
. estimates store `specif'_`commod'_`contract_year'`contract_month'  /* will use in making tex file, do not need to specif
> y event or est window in this label because will reset before then */
 79. 
. 
. /* store residuals so can do SQ test and normality tests */
. predict resid_`commod'_`contract_year'`contract_month' if estimation_window==1, residual
 80. egen std_resid_`commod'_`contract_year'`contract_month'  = std(resid_`commod'_`contract_year'`contract_month' )
 81. 
. 
. * store dummies' coefficients, standard erorrs, and p-values
. if "`specif'" ~= "compositeindex" { /* have usual coefficients so store them */
 82.         
.         gen b_`commod'_`specif'_Day`contract_year'`contract_number' = _b[dummy_eventday]
 83.         gen b_`commod'_`specif'_Before`contract_year'`contract_number' = _b[dummy_daybefore]
 84.         gen b_`commod'_`specif'_After`contract_year'`contract_number' = _b[dummy_dayafter]
 85. 
.         gen se_`commod'_`specif'_Day`contract_year'`contract_number' = _se[dummy_eventday]
 86.         gen se_`commod'_`specif'_Before`contract_year'`contract_number' = _se[dummy_daybefore]
 87.         gen se_`commod'_`specif'_After`contract_year'`contract_number' = _se[dummy_dayafter]
 88. 
.         test dummy_eventday
 89.         gen p_`commod'_`specif'_Day`contract_year'`contract_number' = r(p)
 90.         test dummy_daybefore
 91.         gen p_`commod'_`specif'_Before`contract_year'`contract_number' = r(p)
 92.         test dummy_dayafter
 93.         gen p_`commod'_`specif'_After`contract_year'`contract_number' = r(p)
 94.         
. }
 95. 
. } /* end of contract month looping */
 96. 
. } /* end of contract year looping */
 97. 
. 
. 
. 
. /* save temp file b/c will want it for saving estimation results */
. save "`dir'/temp_`specif'.dta", replace
 98. 
. /* save file with price and return time series for all of this commodity's contracts */
. if "`specif'" == "base" {
 99.         drop if estimation_window==0
100.         keep `commod'* unlog`commod'* date
101.         save "`dir'/output/`event'_timeseries_`commod'_`estwindow'mo.dta", replace
102.         use "`dir'/temp_`specif'.dta"  /* get all variables back */
103. }
104. /* save file with volume time series for all of this commodity's contracts */
. if "`specif'" == "base" {
105.         drop if estimation_window==0
106.         keep vol`commod'* logvol`commod'* date
107.         save "`dir'/output/`event'_voltimeseries_`commod'_`estwindow'mo.dta", replace
108.         use "`dir'/temp_`specif'.dta"  /* get all variables back */
109. }
110. 
. 
. 
. /* test for normality and store residuals for SQ test */
. if "`specif'" ~= "compositeindex" {
111.         
.         * drop missing values
.         drop if estimation_window == 0
112.         
.         * drop event window
.         drop if dummy_eventday == 1
113.         drop if dummy_daybefore == 1
114.         drop if dummy_dayafter == 1     
115.         
.         * Shapiro-Wilk test for normality
.         swilk resid_`commod'_*  
116.         * saves in r(p)
. 
. 
.         * Jarque-Bera test for normality
.         foreach contract_year of local year_list_`event' { /* loop through contract years */
117.                 foreach contract_month of local `commod'`contract_year'liquid_`estwindow'mo_`event' {  /* loop throug
> h contract months */               
118.                         jb6 resid_`commod'_`contract_year'`contract_month'
119.                         * doesn't save results?
.                 }
120.         }
121.         
.         * save residuals for taking into Excel
.         keep resid_*
122.         xpose, clear varname
123.         save "`dir'/output/`event'_resids_`commod'_`specif'_`estwindow'mo.dta", replace
124.         use "`dir'/temp_`specif'.dta"  /* get all variables back */     
125.         
. }
126. 
. 
. /* Plot density of residuals */
. if "`specif'" ~= "compositeindex" {
127.         
.         * drop missing values
.         drop if estimation_window == 0
128.         
.         * drop event window
.         drop if dummy_eventday == 1
129.         drop if dummy_daybefore == 1
130.         drop if dummy_dayafter == 1     
131.         
.         * Kernel density
.         foreach contract_year of local year_list_`event' { /* loop through contract years */
132.                 foreach contract_month of local `commod'`contract_year'liquid_`estwindow'mo_`event' {  /* loop throug
> h contract months */               
133.                         kdensity resid_`commod'_`contract_year'`contract_month', generate(x_resid_`commod'_`contract_
> year'`contract_month' y_resid_`commod'_`contract_year'`contract_month') nograph                    
134.                 }
135.         }
136.         
.         keep x_* y_*
137.         save "`dir'/output/`event'_kdensity_`commod'_`specif'_`estwindow'mo.dta", replace
138.         
.         use "`dir'/temp_`specif'.dta"  /* get all variables back */     
139.         
. }
140. 
. 
. * Make matrix of coefficients, standard errors, and p-values for this commodity-specification pair
. if "`specif'" ~= "compositeindex" { /* have usual coefficients so store them */
141. 
.         keep if date == "`date_`event''"
142.         keep se_* b_* p_* date
143.         
.         reshape long b_`commod'_`specif'_Day se_`commod'_`specif'_Day p_`commod'_`specif'_Day ///
>                 b_`commod'_`specif'_Before se_`commod'_`specif'_Before p_`commod'_`specif'_Before ///
>                 b_`commod'_`specif'_After se_`commod'_`specif'_After p_`commod'_`specif'_After, ///
>                 i(date) j(contract)
144. 
.         save "`dir'/output/coeffs_`commod'_`specif'.dta", replace
145. }
146. 
. }  /* end specification looping */
147. 
. 
. * Merge specification matrices for this commodity
. foreach specif of local specif_list{ 
148.         if "`specif'" == "base" { /* are starting coefficient phase */
149.                 use "`dir'/output/coeffs_`commod'_base.dta"
150.                 erase "`dir'/output/coeffs_`commod'_base.dta"
151.         }
152.         else if "`specif'"~="compositeindex" {
153.                 quietly merge m:m date using "`dir'/output/coeffs_`commod'_`specif'.dta"
154.                 drop _merge
155.                 save "`dir'/output/`event'_coeffs_`commod'_`estwindow'mo.dta", replace
156.                 erase "`dir'/output/coeffs_`commod'_`specif'.dta"
157.         }
158. }
159. 
. 
. * Get merged dataset with estimation results
. foreach specif of local specif_list{  /* loop through specifications */
160.         if "`specif'"=="base" {  /* first time through */
161.                 use "`dir'/temp_`specif'.dta"
162.         }
163.         else {
164.                 quietly merge 1:1 time using "`dir'/temp_`specif'.dta"
165.                 drop _merge
166.         }               
167. }
168. 
. 
. * Make Tex table for each commodity's specifications
. foreach contract_year of local year_list_`event' { /* loop through contract years */
169. foreach contract_month of local `commod'`contract_year'liquid_`estwindow'mo_`event' {  /* loop through contract month
> s */
170. foreach specif of local specif_list_tex{  /* loop through specifications */
171. 
.         estimates restore `specif'_`commod'_`contract_year'`contract_month'
172.         estimates store `specif'                                                                                     
>    /* rename for column headings */
173. }
174. outreg2 [`specif_list_tex'] using "`dir'/output/tex/`event'/`estwindow'mo/`commod'_`contract_year'`contract_month'.te
> x", replace
175. }
176. }
177. 
. 
. 
. * Composite index test for this commodity
. foreach specif of local specif_list{  
178.         if "`specif'" == "compositeindex" {
179. 
.                 use "`dir'/temp_`specif'.dta", replace
180.                 
.                 drop if estimation_window == 0
181. 
.                 tempname handle_compindex
182.                 
.                 /***********************************************/
.                 * First do with unweighted average
.                 
.                 egen mean_resids = rowmean(std_resid_`commod'_*)
183.                 
.                 * Regress on event dummies
.                 ivreg2 mean_resids dummy_eventday dummy_daybefore dummy_dayafter, kernel(bartlett) bw(auto) small
184. 
.                 
.                 file open `handle_compindex' using "`dir'/output/compindex_`event'_`commod'_`estwindow'mo.txt", text wri
> te replace
185.                 
.                 file write `handle_compindex' "Simple mean " _n
186.                 
.                 test dummy_eventday
187.                 file write `handle_compindex' "Event day "
188.                 file write `handle_compindex' "coefficient: " (_b[dummy_eventday]) ", stdrd error: " (_se[dummy_event
> day]) ", p-value: " (r(p)) _n
189.                 /* gen p_`commod'_`specif'_Day = r(p) */
.                 
.                 test dummy_daybefore
190.                 file write `handle_compindex' "Day before event "
191.                 file write `handle_compindex' "coefficient: " (_b[dummy_daybefore]) ", stdrd error: " (_se[dummy_dayb
> efore]) ", p-value: " (r(p)) _n
192.                 /* gen p_`commod'_`specif'_Before = r(p) */
.                 
.                 test dummy_dayafter
193.                 file write `handle_compindex' "Day after event "
194.                 file write `handle_compindex' "coefficient: " (_b[dummy_dayafter]) ", stdrd error: " (_se[dummy_dayaf
> ter]) ", p-value: " (r(p)) _n _n
195.                 /* gen p_`commod'_`specif'_After = r(p) */
.                 
.                 
.                 
.                 
.                 
.                 /***********************************************/
.                 * Now do with weighted average (GLS)
.                 
.                 mkmat std_resid_`commod'_*, matrix(matrix_resids)
196.                 matrix vector_ones = J(colsof(matrix_resids),1,1)
197.                 matrix vector_composite_index = inv(vector_ones'*inv(matrix_resids'*matrix_resids)*vector_ones)*(vect
> or_ones'*inv(matrix_resids'*matrix_resids)*matrix_resids')
198. 
.                 * Using svmat to convert the matrix into a variable
.                 matrix vector_composite_index = vector_composite_index'
199.                 svmat vector_composite_index, names(composite_index) 
200.                 
.                 * Regress composite index on event dummies
.                 ivreg2 composite_index dummy_eventday dummy_daybefore dummy_dayafter, kernel(bartlett) bw(auto) small
201. 
.                         
.                 file write `handle_compindex' "Weighted mean " _n
202.                 
.                 test dummy_eventday
203.                 file write `handle_compindex' "Event day "
204.                 file write `handle_compindex' "coefficient: " (_b[dummy_eventday]) ", stdrd error: " (_se[dummy_event
> day]) ", p-value: " (r(p)) _n
205.                 /* gen p_`commod'_`specif'_Day = r(p) */
.                 
.                 test dummy_daybefore
206.                 file write `handle_compindex' "Day before event "
207.                 file write `handle_compindex' "coefficient: " (_b[dummy_daybefore]) ", stdrd error: " (_se[dummy_dayb
> efore]) ", p-value: " (r(p)) _n
208.                 /* gen p_`commod'_`specif'_Before = r(p) */
.                 
.                 test dummy_dayafter
209.                 file write `handle_compindex' "Day after event "
210.                 file write `handle_compindex' "coefficient: " (_b[dummy_dayafter]) ", stdrd error: " (_se[dummy_dayaf
> ter]) ", p-value: " (r(p)) _n
211.                 /* gen p_`commod'_`specif'_After = r(p) */
.                                 
.                 
.                 /*
>                 gen b_`commod'_`specif'_Day = _b[dummy_eventday]
>                 gen b_`commod'_`specif'_Before = _b[dummy_daybefore]
>                 gen b_`commod'_`specif'_After = _b[dummy_dayafter]
> 
>                 gen se_`commod'_`specif'_Day = _se[dummy_eventday]
>                 gen se_`commod'_`specif'_Before = _se[dummy_daybefore]
>                 gen se_`commod'_`specif'_After = _se[dummy_dayafter]
>                 
>                 keep if date == "`date_`event''"
>                 keep se_* b_* p_* date time
> 
>                 replace date = "`commod'"
>                 save "`dir'/output/compindex_`event'_`commod'_`estwindow'mo.dta", replace
>                 */
.                                 
.                 
.                 * Drop event window for normality test, SQ test, etc
.                 drop if dummy_eventday == 1
212.                 drop if dummy_daybefore == 1
213.                 drop if dummy_dayafter == 1     
214.                                 
.                 * Test for normality            
.                 swilk composite_index
215.                 jb6 composite_index
216.                 
.                 * save for kdensity (will overwrite in a second)
.                 save "`dir'/output/`event'_kdensity_`commod'_`specif'_`estwindow'mo.dta", replace
217.                 
.                 * SQ test: save composite index and simple mean for Excel
.                 keep composite_index mean_resids
218.                 xpose, clear varname
219.                 save "`dir'/output/`event'_resids_`commod'_`specif'_`estwindow'mo.dta", replace
220.         
.                 * Kernel density                
.                 use "`dir'/output/`event'_kdensity_`commod'_`specif'_`estwindow'mo.dta", replace
221.                 kdensity composite_index, generate(x_composite_index y_composite_index) nograph                 
222.                 keep x_* y_*
223.                 save "`dir'/output/`event'_kdensity_`commod'_`specif'_`estwindow'mo.dta", replace
224.         
.                 file close `handle_compindex' 
225.                 
.         }
226. }
227. 
. 
. 
. * Clean up
. foreach specif of local specif_list{  /* loop through specifications */
228.         erase "`dir'/temp_`specif'.dta"
229. }
230. 
. 
. }  /* end of commodity looping */
231. 
. } /* end of estimation window looping */
232. 
. } /* end of event looping */
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(13212 observations deleted)
(5955 observations deleted)
(11873 observations deleted)
(1076 observations deleted)
(5207 observations deleted)
(425 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(674 real changes made)
(63 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.404221

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.87
                                                      Prob > F      =   0.0768
Total (centered) SS     =  .0074451009                Centered R2   =   0.2521
Total (uncentered) SS   =  .0076958089                Uncentered R2 =   0.2765
Residual SS             =  .0055680359                Root MSE      =   .01025

---------------------------------------------------------------------------------
      reQL2010N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0207514   .0114334     1.81   0.075    -.0021811    .0436839
dummy_daybefore |   .0184796   .0120776     1.53   0.132     -.005745    .0427043
 dummy_dayafter |  -.0058556   .0117956    -0.50   0.622    -.0295145    .0178033
           reSP |   .1601123   .1318587     1.21   0.230    -.1043628    .4245874
          reLib |    .049238   .0805575     0.61   0.544    -.1123399    .2108159
        reTnote |   -.247291   .1021192    -2.42   0.019    -.4521163   -.0424658
           reCR |   .4131147   .2984558     1.38   0.172    -.1855118    1.011741
          reBDI |  -.0231375   .0794536    -0.29   0.772    -.1825012    .1362263
      reCL2010N |  -.0520057   .1738025    -0.30   0.766    -.4006095     .296598
          _cons |   .0009796   .0015545     0.63   0.531    -.0021383    .0040975
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010N
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.29
            Prob > F =    0.0752

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.34
            Prob > F =    0.1319

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.25
            Prob > F =    0.6217
(102 observations deleted)
(441 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.332439

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.99
                                                      Prob > F      =   0.0591
Total (centered) SS     =  .0071336627                Centered R2   =   0.2617
Total (uncentered) SS   =  .0074173482                Uncentered R2 =   0.2899
Residual SS             =  .0052667916                Root MSE      =  .009969

---------------------------------------------------------------------------------
      reQL2010Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |     .02094   .0111253     1.88   0.065    -.0013745    .0432544
dummy_daybefore |   .0179427   .0118683     1.51   0.137     -.005862    .0417474
 dummy_dayafter |  -.0062731   .0116719    -0.54   0.593     -.029684    .0171378
           reSP |   .1346843   .1257983     1.07   0.289    -.1176351    .3870037
          reLib |   .0455696   .0772459     0.59   0.558     -.109366    .2005051
        reTnote |  -.2416342   .0986953    -2.45   0.018    -.4395918   -.0436766
           reCR |   .4112448   .2974343     1.38   0.173    -.1853329    1.007822
          reBDI |  -.0193168   .0783435    -0.25   0.806     -.176454    .1378205
      reCL2010Q |  -.0351311   .1772154    -0.20   0.844    -.3905802    .3203181
          _cons |   .0011779   .0014952     0.79   0.434    -.0018212    .0041769
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010Q
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.54
            Prob > F =    0.0653

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.29
            Prob > F =    0.1365

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.29
            Prob > F =    0.5932
(124 observations deleted)
(464 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.281624

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.20
                                                      Prob > F      =   0.0368
Total (centered) SS     =  .0069944174                Centered R2   =   0.2791
Total (uncentered) SS   =   .007312831                Uncentered R2 =   0.3105
Residual SS             =  .0050421634                Root MSE      =  .009754

---------------------------------------------------------------------------------
      reQL2010U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0213583    .010921     1.96   0.056    -.0005464    .0432631
dummy_daybefore |   .0167157   .0117431     1.42   0.160     -.006838    .0402693
 dummy_dayafter |  -.0075618   .0114971    -0.66   0.514     -.030622    .0154985
           reSP |   .0962829   .1215614     0.79   0.432    -.1475384    .3401043
          reLib |   .0443735   .0749791     0.59   0.556    -.1060154    .1947625
        reTnote |  -.2405934   .0956095    -2.52   0.015    -.4323618   -.0488249
           reCR |   .3968815   .2959952     1.34   0.186    -.1968097    .9905727
          reBDI |  -.0097419   .0773748    -0.13   0.900    -.1649361    .1454523
      reCL2010U |   .0101343   .1765417     0.06   0.954    -.3439636    .3642323
          _cons |   .0013633   .0014408     0.95   0.348    -.0015265    .0042532
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010U
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.82
            Prob > F =    0.0558

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.03
            Prob > F =    0.1605

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.43
            Prob > F =    0.5136
(145 observations deleted)
(485 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.494957

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.67
                                                      Prob > F      =   0.0123
Total (centered) SS     =  .0045877078                Centered R2   =   0.3273
Total (uncentered) SS   =  .0047130085                Uncentered R2 =   0.3452
Residual SS             =   .003086207                Root MSE      =  .007631

---------------------------------------------------------------------------------
      reQL2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0166453   .0084691     1.97   0.055    -.0003416    .0336322
dummy_daybefore |   .0173078   .0089955     1.92   0.060    -.0007349    .0353505
 dummy_dayafter |  -.0014499   .0090773    -0.16   0.874    -.0196565    .0167568
           reSP |   .0865452   .0969157     0.89   0.376    -.1078432    .2809335
          reLib |   .0516992   .0593795     0.87   0.388     -.067401    .1707993
        reTnote |  -.1781549   .0762598    -2.34   0.023    -.3311128    -.025197
           reCR |   .5712497   .2321564     2.46   0.017     .1056029    1.036897
          reBDI |  -.0420289   .0577586    -0.73   0.470    -.1578779    .0738202
      reCL2010V |   -.163964   .1404286    -1.17   0.248     -.445628    .1177001
          _cons |   .0005298   .0010388     0.51   0.612    -.0015538    .0026134
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010V
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.86
            Prob > F =    0.0546

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    3.70
            Prob > F =    0.0597

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.03
            Prob > F =    0.8737
(166 observations deleted)
(506 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.490205

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.66
                                                      Prob > F      =   0.0125
Total (centered) SS     =  .0045877078                Centered R2   =   0.3273
Total (uncentered) SS   =  .0047130085                Uncentered R2 =   0.3452
Residual SS             =   .003086213                Root MSE      =  .007631

---------------------------------------------------------------------------------
      reQL2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0166948   .0084726     1.97   0.054    -.0002992    .0336888
dummy_daybefore |   .0172005   .0089822     1.91   0.061    -.0008156    .0352166
 dummy_dayafter |  -.0013657    .009107    -0.15   0.881    -.0196319    .0169005
           reSP |   .0871494   .0967731     0.90   0.372     -.106953    .2812517
          reLib |   .0530954   .0589437     0.90   0.372    -.0651308    .1713215
        reTnote |  -.1780481   .0763003    -2.33   0.023    -.3310872    -.025009
           reCR |   .5692333   .2314972     2.46   0.017     .1049087    1.033558
          reBDI |  -.0420019   .0578035    -0.73   0.471    -.1579411    .0739373
      reCL2010X |  -.1643623   .1412352    -1.16   0.250    -.4476443    .1189197
          _cons |   .0005221   .0010399     0.50   0.618    -.0015636    .0026078
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010X
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.88
            Prob > F =    0.0540

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    3.67
            Prob > F =    0.0609

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.02
            Prob > F =    0.8814
(186 observations deleted)
(1080 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =   1.48706

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.65
                                                      Prob > F      =   0.0130
Total (centered) SS     =  .0045877078                Centered R2   =   0.3263
Total (uncentered) SS   =  .0047130085                Uncentered R2 =   0.3442
Residual SS             =  .0030905831                Root MSE      =  .007636

---------------------------------------------------------------------------------
      reQL2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0167577   .0084808     1.98   0.053    -.0002527     .033768
dummy_daybefore |   .0170346   .0089738     1.90   0.063    -.0009647    .0350338
 dummy_dayafter |  -.0014686   .0091248    -0.16   0.873    -.0197707    .0168335
           reSP |   .0873242   .0967746     0.90   0.371     -.106781    .2814295
          reLib |   .0544286   .0587999     0.93   0.359    -.0635091    .1723664
        reTnote |  -.1783677   .0763766    -2.34   0.023    -.3315597   -.0251757
           reCR |   .5600344   .2304727     2.43   0.019     .0977646    1.022304
          reBDI |  -.0415879   .0578929    -0.72   0.476    -.1577064    .0745306
      reCL2010Z |  -.1597988   .1421097    -1.12   0.266    -.4448348    .1252371
          _cons |    .000512    .001041     0.49   0.625    -.0015759    .0025999
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010Z
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.90
            Prob > F =    0.0534

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    3.60
            Prob > F =    0.0631

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.03
            Prob > F =    0.8727
(285 observations deleted)
(690 observations deleted)
(533 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.372121

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.65
                                                      Prob > F      =   0.0130
Total (centered) SS     =  .0039533355                Centered R2   =   0.3014
Total (uncentered) SS   =  .0040181773                Uncentered R2 =   0.3126
Residual SS             =  .0027619749                Root MSE      =  .007219

---------------------------------------------------------------------------------
      reQL2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0157698   .0081321     1.94   0.058    -.0005412    .0320808
dummy_daybefore |   .0148378   .0085021     1.75   0.087    -.0022153    .0318909
 dummy_dayafter |   -.000633    .008648    -0.07   0.942    -.0179787    .0167128
           reSP |   .1769044   .0904135     1.96   0.056    -.0044421    .3582508
          reLib |   .0170963   .0551026     0.31   0.758    -.0934256    .1276181
        reTnote |  -.1621371    .070346    -2.30   0.025    -.3032333   -.0210409
           reCR |   .4379647   .2220688     1.97   0.054    -.0074489    .8833783
          reBDI |  -.0351924   .0561454    -0.63   0.533    -.1478058     .077421
      reCL2011F |  -.1519677   .1371265    -1.11   0.273    -.4270086    .1230732
          _cons |   .0005734   .0009781     0.59   0.560    -.0013884    .0025352
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011F
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.76
            Prob > F =    0.0578

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    3.05
            Prob > F =    0.0867

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.01
            Prob > F =    0.9419
(164 observations deleted)
(711 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.366647

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.65
                                                      Prob > F      =   0.0131
Total (centered) SS     =  .0039533355                Centered R2   =   0.3008
Total (uncentered) SS   =  .0040181773                Uncentered R2 =   0.3121
Residual SS             =  .0027641487                Root MSE      =  .007222

---------------------------------------------------------------------------------
      reQL2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0157661   .0081388     1.94   0.058    -.0005584    .0320905
dummy_daybefore |   .0147473   .0084997     1.74   0.089    -.0023011    .0317956
 dummy_dayafter |  -.0006691   .0086652    -0.08   0.939    -.0180492     .016711
           reSP |   .1762053   .0901649     1.95   0.056    -.0046426    .3570533
          reLib |    .018007    .054997     0.33   0.745    -.0923031    .1283171
        reTnote |  -.1620138   .0703776    -2.30   0.025    -.3031733   -.0208543
           reCR |   .4315717   .2205989     1.96   0.056    -.0108935     .874037
          reBDI |  -.0352507    .056237    -0.63   0.533    -.1480478    .0775465
      reCL2011G |   -.148854   .1371908    -1.09   0.283    -.4240238    .1263158
          _cons |   .0005665     .00098     0.58   0.566    -.0013991     .002532
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011G
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.75
            Prob > F =    0.0581

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    3.01
            Prob > F =    0.0885

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.01
            Prob > F =    0.9387
(183 observations deleted)
(733 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.362948

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.64
                                                      Prob > F      =   0.0132
Total (centered) SS     =  .0039533355                Centered R2   =   0.3005
Total (uncentered) SS   =  .0040181773                Uncentered R2 =   0.3118
Residual SS             =  .0027652593                Root MSE      =  .007223

---------------------------------------------------------------------------------
      reQL2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0157364   .0081417     1.93   0.059    -.0005937    .0320666
dummy_daybefore |   .0147294   .0085017     1.73   0.089    -.0023228    .0317817
 dummy_dayafter |  -.0006567   .0086866    -0.08   0.940    -.0180797    .0167664
           reSP |   .1759814   .0900175     1.95   0.056    -.0045709    .3565338
          reLib |    .018408    .054977     0.33   0.739     -.091862    .1286779
        reTnote |  -.1619428   .0703865    -2.30   0.025    -.3031201   -.0207654
           reCR |   .4275805   .2199322     1.94   0.057    -.0135476    .8687087
          reBDI |  -.0355128   .0563025    -0.63   0.531    -.1484413    .0774156
      reCL2011H |  -.1474844   .1378446    -1.07   0.289    -.4239656    .1289968
          _cons |   .0005663   .0009823     0.58   0.567    -.0014038    .0025365
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011H
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    3.74
            Prob > F =    0.0586

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    3.00
            Prob > F =    0.0890

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.01
            Prob > F =    0.9400
(206 observations deleted)
(753 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.336359

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.04
                                                      Prob > F      =   0.0521
Total (centered) SS     =  .0037279687                Centered R2   =   0.2478
Total (uncentered) SS   =  .0037696171                Uncentered R2 =   0.2561
Residual SS             =  .0028040642                Root MSE      =  .007274

---------------------------------------------------------------------------------
      reQL2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0130588   .0082229     1.59   0.118    -.0034343    .0295518
dummy_daybefore |   .0134788   .0085292     1.58   0.120    -.0036287    .0305863
 dummy_dayafter |  -.0030428    .008799    -0.35   0.731    -.0206914    .0146057
           reSP |   .1501809   .0912446     1.65   0.106    -.0328327    .3331945
          reLib |   .0043034   .0549178     0.08   0.938    -.1058478    .1144546
        reTnote |  -.1645395   .0710641    -2.32   0.024    -.3070761    -.022003
           reCR |   .3037168   .2181828     1.39   0.170    -.1339024     .741336
          reBDI |  -.0298987   .0573424    -0.52   0.604    -.1449131    .0851157
      reCL2011J |  -.0746862   .1397349    -0.53   0.595     -.354959    .2055866
          _cons |    .000523   .0010007     0.52   0.603    -.0014842    .0025301
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011J
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    2.52
            Prob > F =    0.1182

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.50
            Prob > F =    0.1200

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.12
            Prob > F =    0.7308
(226 observations deleted)
(773 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.335381

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.04
                                                      Prob > F      =   0.0525
Total (centered) SS     =  .0037279687                Centered R2   =   0.2472
Total (uncentered) SS   =  .0037696171                Uncentered R2 =   0.2556
Residual SS             =  .0028062704                Root MSE      =  .007277

---------------------------------------------------------------------------------
      reQL2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0130459   .0082256     1.59   0.119    -.0034526    .0295444
dummy_daybefore |   .0134573   .0085347     1.58   0.121    -.0036611    .0305756
 dummy_dayafter |  -.0031743   .0088054    -0.36   0.720    -.0208356    .0144871
           reSP |   .1497311    .091212     1.64   0.107    -.0332169    .3326792
          reLib |   .0050623    .054876     0.09   0.927    -.1050051    .1151297
        reTnote |   -.165007    .071093    -2.32   0.024    -.3076015   -.0224125
           reCR |   .2950355   .2171436     1.36   0.180    -.1404993    .7305704
          reBDI |  -.0299427   .0573916    -0.52   0.604    -.1450556    .0851702
      reCL2011K |  -.0687127    .139844    -0.49   0.625    -.3492042    .2117788
          _cons |   .0005143   .0010006     0.51   0.609    -.0014926    .0025211
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011K
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    2.52
            Prob > F =    0.1187

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.49
            Prob > F =    0.1208

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.13
            Prob > F =    0.7199
(247 observations deleted)
(795 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.334544

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     2.04
                                                      Prob > F      =   0.0529
Total (centered) SS     =  .0037279687                Centered R2   =   0.2468
Total (uncentered) SS   =  .0037696171                Uncentered R2 =   0.2551
Residual SS             =  .0028078446                Root MSE      =  .007279

---------------------------------------------------------------------------------
      reQL2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0130336   .0082271     1.58   0.119    -.0034679     .029535
dummy_daybefore |   .0134354   .0085379     1.57   0.122    -.0036895    .0305604
 dummy_dayafter |   -.003272   .0088094    -0.37   0.712    -.0209415    .0143974
           reSP |   .1493364   .0911764     1.64   0.107    -.0335403     .332213
          reLib |   .0056622   .0548557     0.10   0.918    -.1043645    .1156889
        reTnote |  -.1653407   .0710942    -2.33   0.024    -.3079377   -.0227437
           reCR |   .2883893   .2166638     1.33   0.189    -.1461833    .7229619
          reBDI |  -.0300195   .0574348    -0.52   0.603    -.1452191      .08518
      reCL2011M |  -.0640971   .1400385    -0.46   0.649    -.3449788    .2167845
          _cons |   .0005077   .0010008     0.51   0.614    -.0014998    .0025151
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011M
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    2.51
            Prob > F =    0.1191

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.48
            Prob > F =    0.1215

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.14
            Prob > F =    0.7118
(269 observations deleted)
(816 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.324366

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.86
                                                      Prob > F      =   0.0795
Total (centered) SS     =   .003275314                Centered R2   =   0.2295
Total (uncentered) SS   =  .0032957997                Uncentered R2 =   0.2343
Residual SS             =  .0025236792                Root MSE      =    .0069

---------------------------------------------------------------------------------
      reQL2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0095567     .00781     1.22   0.226    -.0061082    .0252216
dummy_daybefore |   .0129155   .0081148     1.59   0.117    -.0033606    .0291917
 dummy_dayafter |  -.0022319   .0084168    -0.27   0.792    -.0191138      .01465
           reSP |   .1413091   .0846678     1.67   0.101    -.0285129    .3111312
          reLib |   .0136374   .0518569     0.26   0.794    -.0903744    .1176492
        reTnote |  -.1684511   .0671387    -2.51   0.015    -.3031143   -.0337878
           reCR |   .2054763    .204356     1.01   0.319      -.20441    .6153625
          reBDI |  -.0369688   .0545859    -0.68   0.501    -.1464542    .0725166
      reCL2011N |   -.011224   .1341232    -0.08   0.934     -.280241    .2577931
          _cons |   .0001599   .0009461     0.17   0.866    -.0017378    .0020575
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011N
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    1.50
            Prob > F =    0.2265

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.53
            Prob > F =    0.1174

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.07
            Prob > F =    0.7919
(289 observations deleted)
(836 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.324301

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.86
                                                      Prob > F      =   0.0795
Total (centered) SS     =   .003275314                Centered R2   =   0.2295
Total (uncentered) SS   =  .0032957997                Uncentered R2 =   0.2343
Residual SS             =   .002523706                Root MSE      =  .006901

---------------------------------------------------------------------------------
      reQL2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0095572   .0078106     1.22   0.227    -.0061088    .0252232
dummy_daybefore |    .012913   .0081138     1.59   0.117    -.0033613    .0291872
 dummy_dayafter |   -.002242   .0084159    -0.27   0.791    -.0191222    .0146381
           reSP |   .1412747   .0846447     1.67   0.101    -.0285011    .3110504
          reLib |   .0137174     .05178     0.26   0.792    -.0901402    .1175749
        reTnote |  -.1684949   .0671364    -2.51   0.015    -.3031534   -.0338363
           reCR |   .2046971   .2026737     1.01   0.317    -.2018147     .611209
          reBDI |  -.0369745   .0545983    -0.68   0.501    -.1464849    .0725358
      reCL2011Q |  -.0107172   .1336764    -0.08   0.936    -.2788381    .2574037
          _cons |   .0001587   .0009453     0.17   0.867    -.0017373    .0020546
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Q
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    1.50
            Prob > F =    0.2265

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.53
            Prob > F =    0.1174

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.07
            Prob > F =    0.7910
(312 observations deleted)
(859 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.323888

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.86
                                                      Prob > F      =   0.0795
Total (centered) SS     =   .003275314                Centered R2   =   0.2295
Total (uncentered) SS   =  .0032957997                Uncentered R2 =   0.2343
Residual SS             =  .0025236765                Root MSE      =    .0069

---------------------------------------------------------------------------------
      reQL2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0095593   .0078115     1.22   0.226    -.0061085    .0252271
dummy_daybefore |   .0129129   .0081117     1.59   0.117    -.0033572    .0291829
 dummy_dayafter |   -.002231   .0084229    -0.26   0.792    -.0191252    .0146631
           reSP |   .1413257   .0846444     1.67   0.101    -.0284494    .3111008
          reLib |   .0137014   .0517046     0.26   0.792     -.090005    .1174078
        reTnote |  -.1684872   .0671268    -2.51   0.015    -.3031264   -.0338479
           reCR |   .2051073   .2011675     1.02   0.313    -.1983836    .6085981
          reBDI |  -.0369961   .0546105    -0.68   0.501    -.1465309    .0725387
      reCL2011U |  -.0111602   .1333438    -0.08   0.934     -.278614    .2562936
          _cons |   .0001588   .0009445     0.17   0.867    -.0017356    .0020533
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011U
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    1.50
            Prob > F =    0.2265

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.53
            Prob > F =    0.1174

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.07
            Prob > F =    0.7921
(333 observations deleted)
(879 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.328325

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.69
                                                      Prob > F      =   0.1154
Total (centered) SS     =  .0032917623                Centered R2   =   0.2089
Total (uncentered) SS   =   .003304379                Uncentered R2 =   0.2119
Residual SS             =  .0026040438                Root MSE      =  .007009

---------------------------------------------------------------------------------
      reQL2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0082409   .0079175     1.04   0.303    -.0076396    .0241214
dummy_daybefore |   .0126072    .008224     1.53   0.131    -.0038881    .0291025
 dummy_dayafter |  -.0016146   .0085792    -0.19   0.851    -.0188223    .0155932
           reSP |   .1474867   .0869728     1.70   0.096    -.0269587     .321932
          reLib |   .0081487   .0523479     0.16   0.877    -.0968478    .1131452
        reTnote |  -.1568038   .0680088    -2.31   0.025    -.2932123   -.0203954
           reCR |   .1666295    .202786     0.82   0.415    -.2401077    .5733668
          reBDI |  -.0395643   .0557312    -0.71   0.481    -.1513469    .0722184
      reCL2011V |   .0036874   .1362399     0.03   0.979    -.2695752    .2769501
          _cons |   .0001183   .0009495     0.12   0.901    -.0017861    .0020227
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011V
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    1.08
            Prob > F =    0.3027

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.35
            Prob > F =    0.1312

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.04
            Prob > F =    0.8514
(354 observations deleted)
(901 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =   1.32887

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.69
                                                      Prob > F      =   0.1153
Total (centered) SS     =  .0032917623                Centered R2   =   0.2089
Total (uncentered) SS   =   .003304379                Uncentered R2 =   0.2119
Residual SS             =  .0026040262                Root MSE      =  .007009

---------------------------------------------------------------------------------
      reQL2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0082391   .0079177     1.04   0.303    -.0076417      .02412
dummy_daybefore |   .0126043   .0082234     1.53   0.131    -.0038898    .0290984
 dummy_dayafter |  -.0016304   .0085789    -0.19   0.850    -.0188376    .0155767
           reSP |   .1474172   .0869941     1.69   0.096    -.0270708    .3219052
          reLib |   .0082056   .0522824     0.16   0.876    -.0966595    .1130708
        reTnote |  -.1568417   .0680171    -2.31   0.025    -.2932667   -.0204167
           reCR |   .1657737   .2009999     0.82   0.413     -.237381    .5689284
          reBDI |  -.0395472   .0557306    -0.71   0.481    -.1513286    .0722342
      reCL2011X |   .0044347   .1356843     0.03   0.974    -.2677136     .276583
          _cons |   .0001175   .0009484     0.12   0.902    -.0017847    .0020197
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011X
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    1.08
            Prob > F =    0.3028

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.35
            Prob > F =    0.1313

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.04
            Prob > F =    0.8500
(374 observations deleted)
(1226 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =   1.33029

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.69
                                                      Prob > F      =   0.1152
Total (centered) SS     =  .0032917623                Centered R2   =   0.2089
Total (uncentered) SS   =   .003304379                Uncentered R2 =   0.2120
Residual SS             =    .00260396                Root MSE      =  .007009

---------------------------------------------------------------------------------
      reQL2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0082347   .0079172     1.04   0.303    -.0076452    .0241145
dummy_daybefore |   .0125962   .0082225     1.53   0.131     -.003896    .0290884
 dummy_dayafter |   -.001675    .008583    -0.20   0.846    -.0188903    .0155404
           reSP |   .1472278   .0870428     1.69   0.097    -.0273579    .3218135
          reLib |   .0083719   .0522045     0.16   0.873     -.096337    .1130809
        reTnote |  -.1569489   .0680317    -2.31   0.025    -.2934032   -.0204946
           reCR |    .163311   .1994489     0.82   0.417    -.2367327    .5633548
          reBDI |  -.0394992   .0557264    -0.71   0.482    -.1512722    .0722738
      reCL2011Z |   .0065371   .1353158     0.05   0.962     -.264872    .2779462
          _cons |    .000115   .0009469     0.12   0.904    -.0017843    .0020143
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Z
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    1.08
            Prob > F =    0.3030

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    2.35
            Prob > F =    0.1315

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.04
            Prob > F =    0.8460
(note: file C:/yourdirectory/temp_base.dta not found)
file C:/yourdirectory/temp_base.dta saved
(470 observations deleted)
file C:/yourdirectory/output/graham_timeseries_QL_2mo.dta saved
(470 observations deleted)
file C:/yourdirectory/output/graham_voltimeseries_QL_2mo.dta saved
(470 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010N |     60    0.98645      0.737    -0.659    0.74504
resid_~2010Q |     60    0.97918      1.132     0.267    0.39490
resid_~2010U |     60    0.98062      1.053     0.112    0.45551
resid_~2010V |     60    0.98064      1.052     0.110    0.45614
resid_~2010X |     60    0.98006      1.084     0.174    0.43103
resid_~2010Z |     60    0.97926      1.128     0.259    0.39794
resid_~2011F |     60    0.95549      2.420     1.905    0.02842
resid_~2011G |     60    0.95522      2.434     1.917    0.02760
resid_~2011H |     60    0.95528      2.431     1.914    0.02778
resid_~2011J |     60    0.93446      3.563     2.739    0.00308
resid_~2011K |     60    0.93477      3.546     2.728    0.00318
resid_~2011M |     60    0.93495      3.536     2.722    0.00324
resid_~2011N |     60    0.92323      4.173     3.080    0.00104
resid_~2011Q |     60    0.92321      4.174     3.080    0.00104
resid_~2011U |     60    0.92321      4.174     3.080    0.00103
resid_~2011V |     60    0.93019      3.795     2.875    0.00202
resid_~2011X |     60    0.93021      3.794     2.874    0.00203
resid_~2011Z |     60    0.93025      3.791     2.873    0.00204
Jarque-Bera normality test:  .5021 Chi(2)   .778
Jarque-Bera test for Ho: normality: (resid_QL_2010N)
Jarque-Bera normality test:  1.327 Chi(2)   .515
Jarque-Bera test for Ho: normality: (resid_QL_2010Q)
Jarque-Bera normality test:  1.246 Chi(2)  .5364
Jarque-Bera test for Ho: normality: (resid_QL_2010U)
Jarque-Bera normality test:  1.249 Chi(2)  .5355
Jarque-Bera test for Ho: normality: (resid_QL_2010V)
Jarque-Bera normality test:  1.305 Chi(2)  .5207
Jarque-Bera test for Ho: normality: (resid_QL_2010X)
Jarque-Bera normality test:  1.382 Chi(2)  .5011
Jarque-Bera test for Ho: normality: (resid_QL_2010Z)
Jarque-Bera normality test:  8.819 Chi(2)  .0122
Jarque-Bera test for Ho: normality: (resid_QL_2011F)
Jarque-Bera normality test:   8.89 Chi(2)  .0117
Jarque-Bera test for Ho: normality: (resid_QL_2011G)
Jarque-Bera normality test:  8.925 Chi(2)  .0115
Jarque-Bera test for Ho: normality: (resid_QL_2011H)
Jarque-Bera normality test:  18.43 Chi(2)  1.0e-04
Jarque-Bera test for Ho: normality: (resid_QL_2011J)
Jarque-Bera normality test:  18.46 Chi(2)  9.8e-05
Jarque-Bera test for Ho: normality: (resid_QL_2011K)
Jarque-Bera normality test:   18.5 Chi(2)  9.6e-05
Jarque-Bera test for Ho: normality: (resid_QL_2011M)
Jarque-Bera normality test:  31.63 Chi(2)  1.4e-07
Jarque-Bera test for Ho: normality: (resid_QL_2011N)
Jarque-Bera normality test:  31.67 Chi(2)  1.3e-07
Jarque-Bera test for Ho: normality: (resid_QL_2011Q)
Jarque-Bera normality test:  31.67 Chi(2)  1.3e-07
Jarque-Bera test for Ho: normality: (resid_QL_2011U)
Jarque-Bera normality test:  27.31 Chi(2)  1.2e-06
Jarque-Bera test for Ho: normality: (resid_QL_2011V)
Jarque-Bera normality test:  27.32 Chi(2)  1.2e-06
Jarque-Bera test for Ho: normality: (resid_QL_2011X)
Jarque-Bera normality test:  27.36 Chi(2)  1.1e-06
Jarque-Bera test for Ho: normality: (resid_QL_2011Z)
file C:/yourdirectory/output/graham_resids_QL_base_2mo.dta saved
(470 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_QL_base_2mo.dta saved
(532 observations deleted)
(note: j = 201007 201008 201009 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110
>  201111 201112)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      18
Number of variables                 163   ->      11
j variable (18 values)                    ->   contract
xij variables:
b_QL_base_Day201007 b_QL_base_Day201008 ... b_QL_base_Day201112->b_QL_base_Day
se_QL_base_Day201007 se_QL_base_Day201008 ... se_QL_base_Day201112->se_QL_base_Day
p_QL_base_Day201007 p_QL_base_Day201008 ... p_QL_base_Day201112->p_QL_base_Day
b_QL_base_Before201007 b_QL_base_Before201008 ... b_QL_base_Before201112->b_QL_base_Before
se_QL_base_Before201007 se_QL_base_Before201008 ... se_QL_base_Before201112->se_QL_base_Before
p_QL_base_Before201007 p_QL_base_Before201008 ... p_QL_base_Before201112->p_QL_base_Before
b_QL_base_After201007 b_QL_base_After201008 ... b_QL_base_After201112->b_QL_base_After
se_QL_base_After201007 se_QL_base_After201008 ... se_QL_base_After201112->se_QL_base_After
p_QL_base_After201007 p_QL_base_After201008 ... p_QL_base_After201112->p_QL_base_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_QL_base.dta not found)
file C:/yourdirectory/output/coeffs_QL_base.dta saved
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(0 real changes made)
        time variable:  counter, 1 to 756
                delta:  1 unit
(755 missing values generated)
(755 real changes made)
(63 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.43
                                                      Prob > F      =   0.0742
Total (centered) SS     =  .0073949162                Centered R2   =   0.1151
Total (uncentered) SS   =  .0076513711                Uncentered R2 =   0.1448
Residual SS             =  .0065437525                Root MSE      =   .01053

---------------------------------------------------------------------------------
      reQL2010N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0214123   .0107147     2.00   0.050    -.0000278    .0428524
dummy_daybefore |   .0174066   .0106634     1.63   0.108    -.0039307     .038744
 dummy_dayafter |  -.0101364   .0106634    -0.95   0.346    -.0314737     .011201
          _cons |   .0015623   .0012719     1.23   0.224    -.0009827    .0041074
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(693 missing values generated)
(693 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    3.99
            Prob > F =    0.0503

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.66
            Prob > F =    0.1079

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.90
            Prob > F =    0.3457
(21 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 756
                delta:  1 unit
(755 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.55
                                                      Prob > F      =   0.0641
Total (centered) SS     =  .0070816486                Centered R2   =   0.1194
Total (uncentered) SS   =  .0073626425                Uncentered R2 =   0.1530
Residual SS             =  .0062358677                Root MSE      =   .01028

---------------------------------------------------------------------------------
      reQL2010Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0213132   .0104699     2.04   0.046     .0003631    .0422634
dummy_daybefore |   .0173076   .0104166     1.66   0.102    -.0035361    .0381512
 dummy_dayafter |  -.0102354   .0104166    -0.98   0.330    -.0310791    .0106082
          _cons |   .0016614   .0012178     1.36   0.178    -.0007755    .0040982
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(693 missing values generated)
(693 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.14
            Prob > F =    0.0463

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.76
            Prob > F =    0.1019

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.97
            Prob > F =    0.3298
(43 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 756
                delta:  1 unit
(755 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.61
                                                      Prob > F      =   0.0600
Total (centered) SS     =   .006943469                Centered R2   =   0.1205
Total (uncentered) SS   =  .0072684591                Uncentered R2 =   0.1598
Residual SS             =  .0061066532                Root MSE      =   .01017

---------------------------------------------------------------------------------
      reQL2010U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0211459   .0103667     2.04   0.046     .0004023    .0418896
dummy_daybefore |   .0171403   .0103157     1.66   0.102    -.0035014     .037782
 dummy_dayafter |  -.0104027   .0103157    -1.01   0.317    -.0310444     .010239
          _cons |   .0018287   .0011734     1.56   0.124    -.0005192    .0041766
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(693 missing values generated)
(693 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.16
            Prob > F =    0.0459

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.76
            Prob > F =    0.1019

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.02
            Prob > F =    0.3174
(64 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 756
                delta:  1 unit
(755 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.80
                                                      Prob > F      =   0.0480
Total (centered) SS     =  .0046852567                Centered R2   =   0.1319
Total (uncentered) SS   =  .0048351504                Uncentered R2 =   0.1588
Residual SS             =  .0040671238                Root MSE      =  .008303

---------------------------------------------------------------------------------
      reQL2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0182252   .0084518     2.16   0.035     .0013132    .0351371
dummy_daybefore |   .0143599   .0084056     1.71   0.093    -.0024596    .0311793
 dummy_dayafter |  -.0093971   .0084056    -1.12   0.268    -.0262166    .0074224
          _cons |   .0011744   .0009073     1.29   0.201     -.000641    .0029899
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(693 missing values generated)
(693 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.65
            Prob > F =    0.0351

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.92
            Prob > F =    0.0928

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.25
            Prob > F =    0.2681
(85 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 756
                delta:  1 unit
(755 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.80
                                                      Prob > F      =   0.0480
Total (centered) SS     =  .0046852567                Centered R2   =   0.1319
Total (uncentered) SS   =  .0048351504                Uncentered R2 =   0.1588
Residual SS             =  .0040671238                Root MSE      =  .008303

---------------------------------------------------------------------------------
      reQL2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0182252   .0084518     2.16   0.035     .0013132    .0351371
dummy_daybefore |   .0143599   .0084056     1.71   0.093    -.0024596    .0311793
 dummy_dayafter |  -.0093971   .0084056    -1.12   0.268    -.0262166    .0074224
          _cons |   .0011744   .0009073     1.29   0.201     -.000641    .0029899
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(693 missing values generated)
(693 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.65
            Prob > F =    0.0351

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.92
            Prob > F =    0.0928

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.25
            Prob > F =    0.2681
(105 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 756
                delta:  1 unit
(755 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.80
                                                      Prob > F      =   0.0480
Total (centered) SS     =  .0046852567                Centered R2   =   0.1319
Total (uncentered) SS   =  .0048351504                Uncentered R2 =   0.1588
Residual SS             =  .0040671238                Root MSE      =  .008303

---------------------------------------------------------------------------------
      reQL2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0182252   .0084518     2.16   0.035     .0013132    .0351371
dummy_daybefore |   .0143599   .0084056     1.71   0.093    -.0024596    .0311793
 dummy_dayafter |  -.0093971   .0084056    -1.12   0.268    -.0262166    .0074224
          _cons |   .0011744   .0009073     1.29   0.201     -.000641    .0029899
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(693 missing values generated)
(693 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.65
            Prob > F =    0.0351

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.92
            Prob > F =    0.0928

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.25
            Prob > F =    0.2681
(334 observations deleted)
(549 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.91
                                                      Prob > F      =   0.0419
Total (centered) SS     =  .0039887673                Centered R2   =   0.1280
Total (uncentered) SS   =  .0040667065                Uncentered R2 =   0.1448
Residual SS             =  .0034780445                Root MSE      =  .007678

---------------------------------------------------------------------------------
      reQL2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0167633    .007816     2.14   0.036     .0011236     .032403
dummy_daybefore |   .0126989   .0077817     1.63   0.108    -.0028723    .0282702
 dummy_dayafter |   -.008678   .0077817    -1.12   0.269    -.0242492    .0068932
          _cons |   .0007824   .0009489     0.82   0.413    -.0011164    .0026811
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.60
            Prob > F =    0.0361

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.66
            Prob > F =    0.1080

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.24
            Prob > F =    0.2693
(148 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.91
                                                      Prob > F      =   0.0419
Total (centered) SS     =  .0039887673                Centered R2   =   0.1280
Total (uncentered) SS   =  .0040667065                Uncentered R2 =   0.1448
Residual SS             =  .0034780445                Root MSE      =  .007678

---------------------------------------------------------------------------------
      reQL2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0167633    .007816     2.14   0.036     .0011236     .032403
dummy_daybefore |   .0126989   .0077817     1.63   0.108    -.0028723    .0282702
 dummy_dayafter |   -.008678   .0077817    -1.12   0.269    -.0242492    .0068932
          _cons |   .0007824   .0009489     0.82   0.413    -.0011164    .0026811
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.60
            Prob > F =    0.0361

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.66
            Prob > F =    0.1080

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.24
            Prob > F =    0.2693
(167 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.91
                                                      Prob > F      =   0.0419
Total (centered) SS     =  .0039887673                Centered R2   =   0.1280
Total (uncentered) SS   =  .0040667065                Uncentered R2 =   0.1448
Residual SS             =  .0034780445                Root MSE      =  .007678

---------------------------------------------------------------------------------
      reQL2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0167633    .007816     2.14   0.036     .0011236     .032403
dummy_daybefore |   .0126989   .0077817     1.63   0.108    -.0028723    .0282702
 dummy_dayafter |   -.008678   .0077817    -1.12   0.269    -.0242492    .0068932
          _cons |   .0007824   .0009489     0.82   0.413    -.0011164    .0026811
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.60
            Prob > F =    0.0361

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.66
            Prob > F =    0.1080

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.24
            Prob > F =    0.2693
(190 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.43
                                                      Prob > F      =   0.0741
Total (centered) SS     =  .0037747124                Centered R2   =   0.1058
Total (uncentered) SS   =  .0038262201                Uncentered R2 =   0.1178
Residual SS             =  .0033753671                Root MSE      =  .007564

---------------------------------------------------------------------------------
      reQL2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0140345   .0076931     1.82   0.073    -.0013593    .0294283
dummy_daybefore |   .0117071   .0076641     1.53   0.132    -.0036286    .0270429
 dummy_dayafter |  -.0083731   .0076641    -1.09   0.279    -.0237089    .0069626
          _cons |   .0006285   .0010213     0.62   0.541    -.0014152    .0026722
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    3.33
            Prob > F =    0.0732

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.33
            Prob > F =    0.1320

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.19
            Prob > F =    0.2790
(210 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.43
                                                      Prob > F      =   0.0741
Total (centered) SS     =  .0037747124                Centered R2   =   0.1058
Total (uncentered) SS   =  .0038262201                Uncentered R2 =   0.1178
Residual SS             =  .0033753671                Root MSE      =  .007564

---------------------------------------------------------------------------------
      reQL2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0140345   .0076931     1.82   0.073    -.0013593    .0294283
dummy_daybefore |   .0117071   .0076641     1.53   0.132    -.0036286    .0270429
 dummy_dayafter |  -.0083731   .0076641    -1.09   0.279    -.0237089    .0069626
          _cons |   .0006285   .0010213     0.62   0.541    -.0014152    .0026722
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    3.33
            Prob > F =    0.0732

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.33
            Prob > F =    0.1320

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.19
            Prob > F =    0.2790
(231 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.43
                                                      Prob > F      =   0.0741
Total (centered) SS     =  .0037747124                Centered R2   =   0.1058
Total (uncentered) SS   =  .0038262201                Uncentered R2 =   0.1178
Residual SS             =  .0033753671                Root MSE      =  .007564

---------------------------------------------------------------------------------
      reQL2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0140345   .0076931     1.82   0.073    -.0013593    .0294283
dummy_daybefore |   .0117071   .0076641     1.53   0.132    -.0036286    .0270429
 dummy_dayafter |  -.0083731   .0076641    -1.09   0.279    -.0237089    .0069626
          _cons |   .0006285   .0010213     0.62   0.541    -.0014152    .0026722
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    3.33
            Prob > F =    0.0732

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.33
            Prob > F =    0.1320

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    1.19
            Prob > F =    0.2790
(253 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.72
                                                      Prob > F      =   0.1723
Total (centered) SS     =  .0034820214                Centered R2   =   0.0788
Total (uncentered) SS   =  .0035133579                Uncentered R2 =   0.0870
Residual SS             =  .0032076629                Root MSE      =  .007373

---------------------------------------------------------------------------------
      reQL2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .011115   .0075004     1.48   0.144    -.0038934    .0261233
dummy_daybefore |   .0106761    .007471     1.43   0.158    -.0042735    .0256256
 dummy_dayafter |  -.0063727    .007471    -0.85   0.397    -.0213222    .0085768
          _cons |   .0004605   .0010395     0.44   0.659    -.0016195    .0025406
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    2.20
            Prob > F =    0.1437

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.04
            Prob > F =    0.1583

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.73
            Prob > F =    0.3971
(273 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.72
                                                      Prob > F      =   0.1723
Total (centered) SS     =  .0034820214                Centered R2   =   0.0788
Total (uncentered) SS   =  .0035133579                Uncentered R2 =   0.0870
Residual SS             =  .0032076629                Root MSE      =  .007373

---------------------------------------------------------------------------------
      reQL2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .011115   .0075004     1.48   0.144    -.0038934    .0261233
dummy_daybefore |   .0106761    .007471     1.43   0.158    -.0042735    .0256256
 dummy_dayafter |  -.0063727    .007471    -0.85   0.397    -.0213222    .0085768
          _cons |   .0004605   .0010395     0.44   0.659    -.0016195    .0025406
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    2.20
            Prob > F =    0.1437

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.04
            Prob > F =    0.1583

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.73
            Prob > F =    0.3971
(296 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.72
                                                      Prob > F      =   0.1723
Total (centered) SS     =  .0034820214                Centered R2   =   0.0788
Total (uncentered) SS   =  .0035133579                Uncentered R2 =   0.0870
Residual SS             =  .0032076629                Root MSE      =  .007373

---------------------------------------------------------------------------------
      reQL2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .011115   .0075004     1.48   0.144    -.0038934    .0261233
dummy_daybefore |   .0106761    .007471     1.43   0.158    -.0042735    .0256256
 dummy_dayafter |  -.0063727    .007471    -0.85   0.397    -.0213222    .0085768
          _cons |   .0004605   .0010395     0.44   0.659    -.0016195    .0025406
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    2.20
            Prob > F =    0.1437

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.04
            Prob > F =    0.1583

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.73
            Prob > F =    0.3971
(317 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.44
                                                      Prob > F      =   0.2400
Total (centered) SS     =  .0035842145                Centered R2   =   0.0659
Total (uncentered) SS   =  .0036051241                Uncentered R2 =   0.0713
Residual SS             =  .0033481148                Root MSE      =  .007533

---------------------------------------------------------------------------------
      reQL2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0100226   .0076531     1.31   0.195    -.0052913    .0253365
dummy_daybefore |   .0102697   .0076318     1.35   0.184    -.0050015    .0255409
 dummy_dayafter |  -.0057896   .0076318    -0.76   0.451    -.0210608    .0094816
          _cons |   .0003459   .0010918     0.32   0.752    -.0018388    .0025306
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    1.72
            Prob > F =    0.1954

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.81
            Prob > F =    0.1836

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.58
            Prob > F =    0.4511
(338 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.44
                                                      Prob > F      =   0.2400
Total (centered) SS     =  .0035842145                Centered R2   =   0.0659
Total (uncentered) SS   =  .0036051241                Uncentered R2 =   0.0713
Residual SS             =  .0033481148                Root MSE      =  .007533

---------------------------------------------------------------------------------
      reQL2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0100226   .0076531     1.31   0.195    -.0052913    .0253365
dummy_daybefore |   .0102697   .0076318     1.35   0.184    -.0050015    .0255409
 dummy_dayafter |  -.0057896   .0076318    -0.76   0.451    -.0210608    .0094816
          _cons |   .0003459   .0010918     0.32   0.752    -.0018388    .0025306
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    1.72
            Prob > F =    0.1954

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.81
            Prob > F =    0.1836

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.58
            Prob > F =    0.4511
(358 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 549
                delta:  1 unit
(548 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.44
                                                      Prob > F      =   0.2400
Total (centered) SS     =  .0035842145                Centered R2   =   0.0659
Total (uncentered) SS   =  .0036051241                Uncentered R2 =   0.0713
Residual SS             =  .0033481148                Root MSE      =  .007533

---------------------------------------------------------------------------------
      reQL2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0100226   .0076531     1.31   0.195    -.0052913    .0253365
dummy_daybefore |   .0102697   .0076318     1.35   0.184    -.0050015    .0255409
 dummy_dayafter |  -.0057896   .0076318    -0.76   0.451    -.0210608    .0094816
          _cons |   .0003459   .0010918     0.32   0.752    -.0018388    .0025306
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(486 missing values generated)
(486 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    1.72
            Prob > F =    0.1954

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.81
            Prob > F =    0.1836

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.58
            Prob > F =    0.4511
(note: file C:/yourdirectory/temp_nocovar.dta not found)
file C:/yourdirectory/temp_nocovar.dta saved
(486 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010N |     60    0.98533      0.798    -0.487    0.68705
resid_~2010Q |     60    0.97804      1.194     0.382    0.35140
resid_~2010U |     60    0.98139      1.012     0.025    0.49010
resid_~2010V |     60    0.97381      1.424     0.761    0.22325
resid_~2010X |     60    0.97381      1.424     0.761    0.22325
resid_~2010Z |     60    0.97381      1.424     0.761    0.22325
resid_~2011F |     60    0.96674      1.808     1.276    0.10090
resid_~2011G |     60    0.96674      1.808     1.276    0.10090
resid_~2011H |     60    0.96674      1.808     1.276    0.10090
resid_~2011J |     60    0.94785      2.835     2.246    0.01236
resid_~2011K |     60    0.94785      2.835     2.246    0.01236
resid_~2011M |     60    0.94785      2.835     2.246    0.01236
resid_~2011N |     60    0.92370      4.147     3.066    0.00108
resid_~2011Q |     60    0.92370      4.147     3.066    0.00108
resid_~2011U |     60    0.92370      4.147     3.066    0.00108
resid_~2011V |     60    0.92413      4.124     3.054    0.00113
resid_~2011X |     60    0.92413      4.124     3.054    0.00113
resid_~2011Z |     60    0.92413      4.124     3.054    0.00113
Jarque-Bera normality test:  .6545 Chi(2)  .7209
Jarque-Bera test for Ho: normality: (resid_QL_2010N)
Jarque-Bera normality test:  1.328 Chi(2)  .5149
Jarque-Bera test for Ho: normality: (resid_QL_2010Q)
Jarque-Bera normality test:  1.127 Chi(2)  .5693
Jarque-Bera test for Ho: normality: (resid_QL_2010U)
Jarque-Bera normality test:  2.077 Chi(2)   .354
Jarque-Bera test for Ho: normality: (resid_QL_2010V)
Jarque-Bera normality test:  2.077 Chi(2)   .354
Jarque-Bera test for Ho: normality: (resid_QL_2010X)
Jarque-Bera normality test:  2.077 Chi(2)   .354
Jarque-Bera test for Ho: normality: (resid_QL_2010Z)
Jarque-Bera normality test:  3.309 Chi(2)  .1912
Jarque-Bera test for Ho: normality: (resid_QL_2011F)
Jarque-Bera normality test:  3.309 Chi(2)  .1912
Jarque-Bera test for Ho: normality: (resid_QL_2011G)
Jarque-Bera normality test:  3.309 Chi(2)  .1912
Jarque-Bera test for Ho: normality: (resid_QL_2011H)
Jarque-Bera normality test:  6.628 Chi(2)  .0364
Jarque-Bera test for Ho: normality: (resid_QL_2011J)
Jarque-Bera normality test:  6.628 Chi(2)  .0364
Jarque-Bera test for Ho: normality: (resid_QL_2011K)
Jarque-Bera normality test:  6.628 Chi(2)  .0364
Jarque-Bera test for Ho: normality: (resid_QL_2011M)
Jarque-Bera normality test:  12.12 Chi(2)  .0023
Jarque-Bera test for Ho: normality: (resid_QL_2011N)
Jarque-Bera normality test:  12.12 Chi(2)  .0023
Jarque-Bera test for Ho: normality: (resid_QL_2011Q)
Jarque-Bera normality test:  12.12 Chi(2)  .0023
Jarque-Bera test for Ho: normality: (resid_QL_2011U)
Jarque-Bera normality test:  10.17 Chi(2)  .0062
Jarque-Bera test for Ho: normality: (resid_QL_2011V)
Jarque-Bera normality test:  10.17 Chi(2)  .0062
Jarque-Bera test for Ho: normality: (resid_QL_2011X)
Jarque-Bera normality test:  10.17 Chi(2)  .0062
Jarque-Bera test for Ho: normality: (resid_QL_2011Z)
file C:/yourdirectory/output/graham_resids_QL_nocovar_2mo.dta saved
(486 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_QL_nocovar_2mo.dta saved
(548 observations deleted)
(note: j = 201007 201008 201009 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110
>  201111 201112)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      18
Number of variables                 163   ->      11
j variable (18 values)                    ->   contract
xij variables:
b_QL_nocovar_Day201007 b_QL_nocovar_Day201008 ... b_QL_nocovar_Day201112->b_QL_nocovar_Day
se_QL_nocovar_Day201007 se_QL_nocovar_Day201008 ... se_QL_nocovar_Day201112->se_QL_nocovar_Day
p_QL_nocovar_Day201007 p_QL_nocovar_Day201008 ... p_QL_nocovar_Day201112->p_QL_nocovar_Day
b_QL_nocovar_Before201007 b_QL_nocovar_Before201008 ... b_QL_nocovar_Before201112->b_QL_nocovar_Before
se_QL_nocovar_Before201007 se_QL_nocovar_Before201008 ... se_QL_nocovar_Before201112->se_QL_nocovar_Before
p_QL_nocovar_Before201007 p_QL_nocovar_Before201008 ... p_QL_nocovar_Before201112->p_QL_nocovar_Before
b_QL_nocovar_After201007 b_QL_nocovar_After201008 ... b_QL_nocovar_After201112->b_QL_nocovar_After
se_QL_nocovar_After201007 se_QL_nocovar_After201008 ... se_QL_nocovar_After201112->se_QL_nocovar_After
p_QL_nocovar_After201007 p_QL_nocovar_After201008 ... p_QL_nocovar_After201112->p_QL_nocovar_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_QL_nocovar.dta not found)
file C:/yourdirectory/output/coeffs_QL_nocovar.dta saved
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(13212 observations deleted)
(5955 observations deleted)
(11873 observations deleted)
(1076 observations deleted)
(5207 observations deleted)
(425 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(674 real changes made)
(63 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  204.57364
                                                                 (not concave)
Gradient vector (length = 1814.858):
          reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         7.06e-06         9.61e-06         3.49e-07        -.8243737        -.6695382        -.9561266        -.2002698

          reQL2010N:       reQL2010N:       reQL2010N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010N            _cons         __000003         __000004            _cons            _cons
r1         .0893639        -.3065329        -42.72154        -3.202839         .1603497         1814.352         .0651278
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  204.57364
                                                                 (not concave)
Gradient vector (length = 1814.858):
          reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:       reQL2010N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         6.83e-06         9.45e-06        -4.31e-06        -.8243736        -.6695382        -.9561265        -.2002697

          reQL2010N:       reQL2010N:       reQL2010N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010N            _cons         __000003         __000004            _cons            _cons
r1         .0893636        -.3065328        -42.72155        -3.202839         .1603497         1814.352         .0651278
------------------------------------------------------------------------------

ARCH family regression

Sample: 605 - 667                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     75.09
Log pseudolikelihood =  204.5736                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010N |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010N       |
 dummy_eventday |   .0207514   .0043253     4.80   0.000      .012274    .0292288
dummy_daybefore |   .0184796   .0056712     3.26   0.001     .0073642    .0295951
 dummy_dayafter |  -.0058556   .0051012    -1.15   0.251    -.0158537    .0041426
           reSP |   .1601123   .2062752     0.78   0.438    -.2441797    .5644043
          reLib |    .049238   .0537039     0.92   0.359    -.0560197    .1544957
        reTnote |   -.247291   .0904143    -2.74   0.006    -.4244997   -.0700823
           reCR |   .4131147    .338429     1.22   0.222     -.250194    1.076423
          reBDI |  -.0231375   .0644029    -0.36   0.719    -.1493648    .1030899
      reCL2010N |  -.0520057   .2022484    -0.26   0.797    -.4484053    .3443938
          _cons |   .0009796   .0015818     0.62   0.536    -.0021207    .0040799
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.26e-17          .        .       .            .           .
                |
          garch |
            L1. |   2.71e-18          .        .       .            .           .
                |
          _cons |   .0000884   .0000153     5.77   0.000     .0000584    .0001184
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   2.349735     1.42   0.156    -1.273192    7.937601
----------------+----------------------------------------------------------------
             df |         30   65.79258                      2.279937    2802.633
---------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  [reQL2010N]dummy_eventday = 0

           chi2(  1) =   23.02
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010N]dummy_daybefore = 0

           chi2(  1) =   10.62
         Prob > chi2 =    0.0011

 ( 1)  [reQL2010N]dummy_dayafter = 0

           chi2(  1) =    1.32
         Prob > chi2 =    0.2510
(102 observations deleted)
(441 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  206.24073
                                                                 (not concave)
Gradient vector (length =  3820.83):
          reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.50e-06        -4.65e-06         2.88e-06        -.9139798         -.682612        -1.375007        -.6294914

          reQL2010Q:       reQL2010Q:       reQL2010Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Q            _cons         __000003         __000004            _cons            _cons
r1        -.0363856        -1.556042        -70.81358         -.662114         .3193645         3820.173         .1472799
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  206.24073
                                                                 (not concave)
Gradient vector (length =  3820.83):
          reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:       reQL2010Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -4.41e-07        -4.32e-06         2.33e-06        -.9139798         -.682612        -1.375007        -.6294914

          reQL2010Q:       reQL2010Q:       reQL2010Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Q            _cons         __000003         __000004            _cons            _cons
r1        -.0363857        -1.556042        -70.81358         -.662114         .3193645         3820.173         .1472799
------------------------------------------------------------------------------

ARCH family regression

Sample: 605 - 667                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    367.70
Log pseudolikelihood =  206.2407                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010Q |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010Q       |
 dummy_eventday |     .02094   .0040936     5.12   0.000     .0129166    .0289633
dummy_daybefore |   .0179427   .0051997     3.45   0.001     .0077515    .0281339
 dummy_dayafter |  -.0062731   .0049122    -1.28   0.202    -.0159009    .0033546
           reSP |   .1346843   .1794611     0.75   0.453    -.2170529    .4864215
          reLib |   .0455696    .054055     0.84   0.399    -.0603764    .1515155
        reTnote |  -.2416342   .0885865    -2.73   0.006    -.4152606   -.0680078
           reCR |   .4112448   .3719288     1.11   0.269    -.3177224    1.140212
          reBDI |  -.0193168   .0616459    -0.31   0.754    -.1401404    .1015069
      reCL2010Q |  -.0351311   .2060345    -0.17   0.865    -.4389513    .3686891
          _cons |   .0011779   .0015461     0.76   0.446    -.0018525    .0042083
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -4.75e-18          .        .       .            .           .
                |
          garch |
            L1. |  -1.04e-18          .        .       .            .           .
                |
          _cons |   .0000836   .0000139     6.01   0.000     .0000563    .0001109
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.470024     2.27   0.023     .4510105    6.213399
----------------+----------------------------------------------------------------
             df |         30   41.16067                      3.569898    501.3956
---------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  [reQL2010Q]dummy_eventday = 0

           chi2(  1) =   26.17
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010Q]dummy_daybefore = 0

           chi2(  1) =   11.91
         Prob > chi2 =    0.0006

 ( 1)  [reQL2010Q]dummy_dayafter = 0

           chi2(  1) =    1.63
         Prob > chi2 =    0.2016
(124 observations deleted)
(464 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  207.65318
                                                                 (not concave)
Gradient vector (length = 3077.416):
          reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -7.10e-06        -9.01e-06        -6.18e-06        -1.133024        -.6316199        -1.520948        -.6764109

          reQL2010U:       reQL2010U:       reQL2010U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010U            _cons         __000003         __000004            _cons            _cons
r1        -.0531833        -1.788729        -74.02984         -.336371         .2462316         3076.524         .1096389
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  207.65318
                                                                 (not concave)
Gradient vector (length = 3077.416):
          reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:       reQL2010U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -6.97e-06        -8.91e-06        -6.03e-06        -1.133024        -.6316198        -1.520948        -.6764109

          reQL2010U:       reQL2010U:       reQL2010U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010U            _cons         __000003         __000004            _cons            _cons
r1        -.0531833        -1.788729        -74.02984         -.336371         .2462316         3076.524         .1096389
------------------------------------------------------------------------------

ARCH family regression

Sample: 605 - 667                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     82.26
Log pseudolikelihood =  207.6532                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010U |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010U       |
 dummy_eventday |   .0213583   .0039546     5.40   0.000     .0136075    .0291092
dummy_daybefore |   .0167157   .0050082     3.34   0.001     .0068998    .0265315
 dummy_dayafter |  -.0075618   .0048155    -1.57   0.116        -.017    .0018764
           reSP |   .0962829    .164052     0.59   0.557    -.2252531     .417819
          reLib |   .0443735   .0535385     0.83   0.407    -.0605599     .149307
        reTnote |  -.2405934   .0863506    -2.79   0.005    -.4098375   -.0713492
           reCR |   .3968815   .3925665     1.01   0.312    -.3725347    1.166298
          reBDI |  -.0097419   .0588629    -0.17   0.869    -.1251111    .1056273
      reCL2010U |   .0101343   .2199129     0.05   0.963     -.420887    .4411557
          _cons |   .0013634   .0014904     0.91   0.360    -.0015577    .0042844
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.44e-18          .        .       .            .           .
                |
          garch |
            L1. |  -1.88e-19          .        .       .            .           .
                |
          _cons |     .00008   .0000135     5.92   0.000     .0000535    .0001065
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   2.286102     1.46   0.145    -1.148473    7.812882
----------------+----------------------------------------------------------------
             df |         30   64.01086                       2.31712    2474.246
---------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  [reQL2010U]dummy_eventday = 0

           chi2(  1) =   29.17
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010U]dummy_daybefore = 0

           chi2(  1) =   11.14
         Prob > chi2 =    0.0008

 ( 1)  [reQL2010U]dummy_dayafter = 0

           chi2(  1) =    2.47
         Prob > chi2 =    0.1163
(145 observations deleted)
(485 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  223.22317
                                                                 (not concave)
Gradient vector (length = 1330.066):
          reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -4.70e-06        -5.53e-06        -3.04e-06         .0823604        -2.186264        -1.918374        -.7425646

          reQL2010V:       reQL2010V:       reQL2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000003         __000004            _cons            _cons
r1         -2.38411        -1.232045        -94.15495        -5.591746         .0650011         1326.712         .0248154
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  223.22317
                                                                 (not concave)
Gradient vector (length = 1330.066):
          reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.49e-06        -4.62e-06        -1.17e-06         .0823604        -2.186264        -1.918374        -.7425647

          reQL2010V:       reQL2010V:       reQL2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000003         __000004            _cons            _cons
r1         -2.38411        -1.232045        -94.15494        -5.591746         .0650011         1326.712         .0248154
------------------------------------------------------------------------------

ARCH family regression

Sample: 605 - 667                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    363.02
Log pseudolikelihood =  223.2232                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010V       |
 dummy_eventday |   .0166453   .0041435     4.02   0.000     .0085242    .0247665
dummy_daybefore |   .0173078   .0096851     1.79   0.074    -.0016746    .0362903
 dummy_dayafter |  -.0014499   .0063405    -0.23   0.819     -.013877    .0109773
           reSP |   .0865452   .2765085     0.31   0.754    -.4554016    .6284919
          reLib |   .0516992   .0512543     1.01   0.313    -.0487574    .1521557
        reTnote |  -.1781549   .1666836    -1.07   0.285    -.5048488     .148539
           reCR |   .5712497   .2830159     2.02   0.044     .0165488    1.125951
          reBDI |  -.0420289   .0904102    -0.46   0.642    -.2192296    .1351718
      reCL2010V |   -.163964   .1827338    -0.90   0.370    -.5221157    .1941878
          _cons |   .0005298   .0025139     0.21   0.833    -.0043972    .0054569
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -4.36e-17   .5473883    -0.00   1.000    -1.072861    1.072861
                |
          garch |
            L1. |   1.13e-17          .        .       .            .           .
                |
          _cons |    .000049   .0000222     2.21   0.027     5.48e-06    .0000925
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   13.94244     0.24   0.811    -23.99449    30.65889
----------------+----------------------------------------------------------------
             df |         30   390.3885                             2    2.07e+13
---------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  [reQL2010V]dummy_eventday = 0

           chi2(  1) =   16.14
         Prob > chi2 =    0.0001

 ( 1)  [reQL2010V]dummy_daybefore = 0

           chi2(  1) =    3.19
         Prob > chi2 =    0.0739

 ( 1)  [reQL2010V]dummy_dayafter = 0

           chi2(  1) =    0.05
         Prob > chi2 =    0.8191
(166 observations deleted)
(506 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  223.22367
                                                                 (not concave)
Gradient vector (length = 1292.997):
          reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         7.73e-06         .0000158         .0000122         .0981451        -2.202699        -1.880947        -.7291828

          reQL2010X:       reQL2010X:       reQL2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000003         __000004            _cons            _cons
r1        -2.388274        -1.228956        -96.60365        -5.362573         .0631502         1289.366         .0240194
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  223.22367
                                                                 (not concave)
Gradient vector (length = 1292.997):
          reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         6.98e-06         .0000155         .0000117         .0981451        -2.202699        -1.880947        -.7291828

          reQL2010X:       reQL2010X:       reQL2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000003         __000004            _cons            _cons
r1        -2.388274        -1.228956        -96.60365        -5.362573         .0631502         1289.366         .0240194
------------------------------------------------------------------------------

ARCH family regression

Sample: 605 - 667                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    364.36
Log pseudolikelihood =  223.2237                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010X       |
 dummy_eventday |   .0166948   .0041653     4.01   0.000      .008531    .0248586
dummy_daybefore |   .0172005   .0099575     1.73   0.084    -.0023158    .0367168
 dummy_dayafter |  -.0013657   .0068643    -0.20   0.842    -.0148195     .012088
           reSP |   .0871494   .2780065     0.31   0.754    -.4577334    .6320322
          reLib |   .0530954   .0498333     1.07   0.287    -.0445762    .1507669
        reTnote |  -.1780481   .1656786    -1.07   0.283    -.5027722    .1466759
           reCR |   .5692333   .2781162     2.05   0.041     .0241355    1.114331
          reBDI |  -.0420019   .0925532    -0.45   0.650    -.2234028     .139399
      reCL2010X |  -.1643623   .1969977    -0.83   0.404    -.5504707    .2217461
          _cons |   .0005221   .0025477     0.20   0.838    -.0044713    .0055155
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -4.19e-17   .5291595    -0.00   1.000    -1.037134    1.037134
                |
          garch |
            L1. |   1.13e-17          .        .       .            .           .
                |
          _cons |    .000049   .0000221     2.22   0.027     5.66e-06    .0000923
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   14.21629     0.23   0.815    -24.53122    31.19563
----------------+----------------------------------------------------------------
             df |         30   398.0562                             2    3.53e+13
---------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  [reQL2010X]dummy_eventday = 0

           chi2(  1) =   16.06
         Prob > chi2 =    0.0001

 ( 1)  [reQL2010X]dummy_daybefore = 0

           chi2(  1) =    2.98
         Prob > chi2 =    0.0841

 ( 1)  [reQL2010X]dummy_dayafter = 0

           chi2(  1) =    0.04
         Prob > chi2 =    0.8423
(186 observations deleted)
(1080 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  223.18121
                                                                 (not concave)
Gradient vector (length = 1229.406):
          reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         8.23e-06         .0000123        -3.08e-06         .1321434        -2.244762         -1.84744        -.7288803

          reQL2010Z:       reQL2010Z:       reQL2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000003         __000004            _cons            _cons
r1        -2.404011        -1.246562        -99.55438        -5.252342         .0601079         1225.351         .0226649
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  223.18121
                                                                 (not concave)
Gradient vector (length = 1229.406):
          reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         7.51e-06         .0000119        -1.16e-06         .1321434        -2.244762         -1.84744        -.7288804

          reQL2010Z:       reQL2010Z:       reQL2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000003         __000004            _cons            _cons
r1        -2.404011        -1.246562        -99.55438        -5.252342         .0601079         1225.351         .0226649
------------------------------------------------------------------------------

ARCH family regression

Sample: 605 - 667                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    116.00
Log pseudolikelihood =  223.1812                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010Z       |
 dummy_eventday |   .0167577   .0041958     3.99   0.000      .008534    .0249813
dummy_daybefore |   .0170346    .010516     1.62   0.105    -.0035764    .0376456
 dummy_dayafter |  -.0014686   .0074957    -0.20   0.845    -.0161599    .0132227
           reSP |   .0873242   .2935272     0.30   0.766    -.4879786     .662627
          reLib |   .0544286   .0496121     1.10   0.273    -.0428094    .1516666
        reTnote |  -.1783677   .1709451    -1.04   0.297     -.513414    .1566786
           reCR |   .5600344   .2734487     2.05   0.041     .0240849    1.095984
          reBDI |  -.0415879    .096631    -0.43   0.667    -.2309812    .1478054
      reCL2010Z |  -.1597988   .2156039    -0.74   0.459    -.5823747     .262777
          _cons |    .000512   .0026909     0.19   0.849     -.004762     .005786
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -4.07e-17   .5509796    -0.00   1.000      -1.0799      1.0799
                |
          garch |
            L1. |   1.14e-17          .        .       .            .           .
                |
          _cons |   .0000491    .000023     2.13   0.033     4.02e-06    .0000941
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   15.20772     0.22   0.827    -26.47437    33.13878
----------------+----------------------------------------------------------------
             df |         30   425.8161                             2    2.47e+14
---------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)

 ( 1)  [reQL2010Z]dummy_eventday = 0

           chi2(  1) =   15.95
         Prob > chi2 =    0.0001

 ( 1)  [reQL2010Z]dummy_daybefore = 0

           chi2(  1) =    2.62
         Prob > chi2 =    0.1053

 ( 1)  [reQL2010Z]dummy_dayafter = 0

           chi2(  1) =    0.04
         Prob > chi2 =    0.8447
(285 observations deleted)
(690 observations deleted)
(533 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  227.27808
                                                                 (not concave)
Gradient vector (length = 21049.69):
          reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.83e-06        -.0000113         .0000108         .9044863        -4.682381        -1.448112        -1.175308

          reQL2011F:       reQL2011F:       reQL2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000003         __000004            _cons            _cons
r1        -2.742308         -1.26966        -219.4251         3.913912        -.9227922        -21048.55        -.4581752
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  227.27808
                                                                 (not concave)
Gradient vector (length = 21049.69):
          reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.50e-06        -.0000105         9.98e-06         .9044863        -4.682381        -1.448112        -1.175308

          reQL2011F:       reQL2011F:       reQL2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000003         __000004            _cons            _cons
r1        -2.742308         -1.26966        -219.4251         3.913912        -.9227922        -21048.55        -.4581752
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     83.20
Log pseudolikelihood =  227.2781                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011F |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011F       |
 dummy_eventday |   .0157698   .0028202     5.59   0.000     .0102422    .0212973
dummy_daybefore |   .0148378   .0038848     3.82   0.000     .0072237    .0224518
 dummy_dayafter |   -.000633   .0042471    -0.15   0.882    -.0089571    .0076911
           reSP |   .1769044   .1058072     1.67   0.095    -.0304739    .3842827
          reLib |   .0170963   .0306931     0.56   0.578    -.0430611    .0772536
        reTnote |  -.1621371   .0661698    -2.45   0.014    -.2918276   -.0324467
           reCR |   .4379647    .244202     1.79   0.073    -.0406624    .9165919
          reBDI |  -.0351924    .045841    -0.77   0.443    -.1250392    .0546544
      reCL2011F |  -.1519677   .1376687    -1.10   0.270    -.4217934    .1178579
          _cons |   .0005734   .0013526     0.42   0.672    -.0020777    .0032245
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.76e-17   .1349763     0.00   1.000    -.2645488    .2645488
                |
          garch |
            L1. |  -1.72e-18          .        .       .            .           .
                |
          _cons |   .0000438   .0000162     2.71   0.007     .0000121    .0000756
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011F]dummy_eventday = 0

           chi2(  1) =   31.27
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011F]dummy_daybefore = 0

           chi2(  1) =   14.59
         Prob > chi2 =    0.0001

 ( 1)  [reQL2011F]dummy_dayafter = 0

           chi2(  1) =    0.02
         Prob > chi2 =    0.8815
(164 observations deleted)
(711 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  227.25107
                                                                 (not concave)
Gradient vector (length = 20931.78):
          reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000196        -.0000138        -.0000117         .9205971        -4.698536         -1.41637         -1.17067

          reQL2011G:       reQL2011G:       reQL2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000003         __000004            _cons            _cons
r1        -2.735254        -1.259995        -221.2689         4.098704        -.9183224        -20930.61        -.4560575
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  227.25107
                                                                 (not concave)
Gradient vector (length = 20931.78):
          reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         9.37e-06         .0000292         .0000368         .9205961        -4.698535        -1.416371        -1.170671

          reQL2011G:       reQL2011G:       reQL2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000003         __000004            _cons            _cons
r1         -2.73525        -1.259995        -221.2688         4.098704        -.9183224        -20930.61        -.4560574
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    523.65
Log pseudolikelihood =  227.2511                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011G |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011G       |
 dummy_eventday |   .0157661   .0028282     5.57   0.000     .0102229    .0213092
dummy_daybefore |   .0147473   .0038836     3.80   0.000     .0071355     .022359
 dummy_dayafter |  -.0006691   .0043154    -0.16   0.877    -.0091272    .0077891
           reSP |   .1762053   .1060265     1.66   0.097    -.0316028    .3840135
          reLib |    .018007    .030386     0.59   0.553    -.0415484    .0775624
        reTnote |  -.1620138   .0664833    -2.44   0.015    -.2923186    -.031709
           reCR |   .4315717   .2420131     1.78   0.075    -.0427653    .9059088
          reBDI |  -.0352507   .0458543    -0.77   0.442    -.1251234     .054622
      reCL2011G |   -.148854   .1395375    -1.07   0.286    -.4223424    .1246344
          _cons |   .0005665   .0013511     0.42   0.675    -.0020817    .0032146
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.14e-15   .1353236     0.00   1.000    -.2652294    .2652294
                |
          garch |
            L1. |  -1.12e-16          .        .       .            .           .
                |
          _cons |   .0000439   .0000163     2.69   0.007      .000012    .0000758
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011G]dummy_eventday = 0

           chi2(  1) =   31.08
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011G]dummy_daybefore = 0

           chi2(  1) =   14.42
         Prob > chi2 =    0.0001

 ( 1)  [reQL2011G]dummy_dayafter = 0

           chi2(  1) =    0.02
         Prob > chi2 =    0.8768
(183 observations deleted)
(733 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  227.23713
                                                                 (not concave)
Gradient vector (length = 20868.33):
          reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000195        -2.56e-06         -.000012         .9350619        -4.705001        -1.394173         -1.16892

          reQL2011H:       reQL2011H:       reQL2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000003         __000004            _cons            _cons
r1        -2.732015        -1.245249        -222.1078         4.250946        -.9159217        -20867.15        -.4545701
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  227.23713
                                                                 (not concave)
Gradient vector (length = 20868.33):
          reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000191         1.05e-06        -.0000113         .9350619        -4.705001        -1.394173         -1.16892

          reQL2011H:       reQL2011H:       reQL2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000003         __000004            _cons            _cons
r1        -2.732014        -1.245249        -222.1078         4.250946        -.9159217        -20867.15        -.4545701
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    524.89
Log pseudolikelihood =  227.2371                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011H |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011H       |
 dummy_eventday |   .0157364   .0028332     5.55   0.000     .0101835    .0212894
dummy_daybefore |   .0147294   .0038918     3.78   0.000     .0071017    .0223572
 dummy_dayafter |  -.0006567   .0043862    -0.15   0.881    -.0092534    .0079401
           reSP |   .1759814   .1061875     1.66   0.097    -.0321422    .3841051
          reLib |    .018408   .0302082     0.61   0.542    -.0407989    .0776149
        reTnote |  -.1619428   .0667166    -2.43   0.015    -.2927049   -.0311806
           reCR |   .4275805   .2399257     1.78   0.075    -.0426653    .8978263
          reBDI |  -.0355128   .0459079    -0.77   0.439    -.1254908    .0544651
      reCL2011H |  -.1474844   .1412155    -1.04   0.296    -.4242618     .129293
          _cons |   .0005663    .001349     0.42   0.675    -.0020777    .0032104
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.82e-17   .1351416     0.00   1.000    -.2648726    .2648726
                |
          garch |
            L1. |  -1.87e-18          .        .       .            .           .
                |
          _cons |   .0000439   .0000164     2.68   0.007     .0000118    .0000759
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011H]dummy_eventday = 0

           chi2(  1) =   30.85
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011H]dummy_daybefore = 0

           chi2(  1) =   14.32
         Prob > chi2 =    0.0002

 ( 1)  [reQL2011H]dummy_dayafter = 0

           chi2(  1) =    0.02
         Prob > chi2 =    0.8810
(206 observations deleted)
(753 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  227.17962
                                                                 (not concave)
Gradient vector (length = 34950.22):
          reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         9.43e-06         .0000117         .0000172         1.240341        -5.846888        -1.768259        -1.263421

          reQL2011J:       reQL2011J:       reQL2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000003         __000004            _cons            _cons
r1        -3.209272        -1.091027        -263.2555         .7982996        -1.555556        -34949.22        -.7496336
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  227.17962
                                                                 (not concave)
Gradient vector (length = 34950.22):
          reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000415        -.0000304        -.0000109         1.240341        -5.846889        -1.768259        -1.263421

          reQL2011J:       reQL2011J:       reQL2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000003         __000004            _cons            _cons
r1        -3.209274        -1.091027        -263.2556         .7982996        -1.555556        -34949.22        -.7496336
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    292.33
Log pseudolikelihood =  227.1796                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011J |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011J       |
 dummy_eventday |   .0130588   .0028463     4.59   0.000     .0074802    .0186374
dummy_daybefore |   .0134788   .0040861     3.30   0.001     .0054703    .0214873
 dummy_dayafter |  -.0030428   .0043754    -0.70   0.487    -.0116185    .0055328
           reSP |   .1501809   .1087251     1.38   0.167    -.0629164    .3632782
          reLib |   .0043034   .0309249     0.14   0.889    -.0563084    .0649152
        reTnote |  -.1645395   .0649875    -2.53   0.011    -.2919127   -.0371664
           reCR |   .3037168   .2292779     1.32   0.185    -.1456597    .7530933
          reBDI |  -.0298987   .0471475    -0.63   0.526     -.122306    .0625086
      reCL2011J |  -.0746862   .1378707    -0.54   0.588    -.3449078    .1955355
          _cons |    .000523   .0013995     0.37   0.709      -.00222    .0032659
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   5.68e-16   .1816515     0.00   1.000    -.3560304    .3560304
                |
          garch |
            L1. |  -6.00e-16          .        .       .            .           .
                |
          _cons |   .0000445   .0000193     2.30   0.021     6.65e-06    .0000824
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011J]dummy_eventday = 0

           chi2(  1) =   21.05
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011J]dummy_daybefore = 0

           chi2(  1) =   10.88
         Prob > chi2 =    0.0010

 ( 1)  [reQL2011J]dummy_dayafter = 0

           chi2(  1) =    0.48
         Prob > chi2 =    0.4868
(226 observations deleted)
(773 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  227.15478
                                                                 (not concave)
Gradient vector (length =  34901.5):
          reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         5.92e-06         5.27e-06         6.00e-06         1.252565        -5.853764        -1.760744        -1.270416

          reQL2011K:       reQL2011K:       reQL2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000003         __000004            _cons            _cons
r1        -3.191706        -1.072051        -263.3058          .703057        -1.554609        -34900.51        -.7487608
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  227.15478
                                                                 (not concave)
Gradient vector (length =  34901.5):
          reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000144         -.000018        -.0000141         1.252565        -5.853765        -1.760743        -1.270416

          reQL2011K:       reQL2011K:       reQL2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000003         __000004            _cons            _cons
r1        -3.191708        -1.072052        -263.3059          .703057        -1.554609        -34900.51        -.7487608
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    396.49
Log pseudolikelihood =  227.1548                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011K |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011K       |
 dummy_eventday |   .0130459   .0028618     4.56   0.000     .0074369    .0186548
dummy_daybefore |   .0134573    .004093     3.29   0.001     .0054352    .0214794
 dummy_dayafter |  -.0031743   .0043855    -0.72   0.469    -.0117696    .0054211
           reSP |   .1497311   .1089028     1.37   0.169    -.0637144    .3631766
          reLib |   .0050623    .030835     0.16   0.870    -.0553733    .0654979
        reTnote |   -.165007   .0651033    -2.53   0.011    -.2926071   -.0374069
           reCR |   .2950355   .2257734     1.31   0.191    -.1474723    .7375433
          reBDI |  -.0299427   .0472724    -0.63   0.526    -.1225949    .0627095
      reCL2011K |  -.0687127    .138704    -0.50   0.620    -.3405674    .2031421
          _cons |   .0005143   .0013969     0.37   0.713    -.0022236    .0032521
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.41e-16   .1836357     0.00   1.000    -.3599194    .3599194
                |
          garch |
            L1. |  -1.51e-16          .        .       .            .           .
                |
          _cons |   .0000445   .0000194     2.30   0.021     6.61e-06    .0000825
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011K]dummy_eventday = 0

           chi2(  1) =   20.78
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011K]dummy_daybefore = 0

           chi2(  1) =   10.81
         Prob > chi2 =    0.0010

 ( 1)  [reQL2011K]dummy_dayafter = 0

           chi2(  1) =    0.52
         Prob > chi2 =    0.4692
(247 observations deleted)
(795 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  227.13731
                                                                 (not concave)
Gradient vector (length = 34875.68):
          reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.49e-06        -1.80e-06         8.47e-06         1.261472         -5.86007        -1.756599        -1.276449

          reQL2011M:       reQL2011M:       reQL2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000003         __000004            _cons            _cons
r1        -3.175888        -1.058715        -263.4373         .6294452        -1.554331        -34874.68        -.7482954
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  227.13731
                                                                 (not concave)
Gradient vector (length = 34875.68):
          reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000311         .0000668        -5.78e-06         1.261472        -5.860069        -1.756598        -1.276448

          reQL2011M:       reQL2011M:       reQL2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000003         __000004            _cons            _cons
r1        -3.175882        -1.058714        -263.4373         .6294452        -1.554331        -34874.68        -.7482954
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    395.92
Log pseudolikelihood =  227.1373                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011M |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011M       |
 dummy_eventday |   .0130336   .0028752     4.53   0.000     .0073983    .0186688
dummy_daybefore |   .0134354   .0040953     3.28   0.001     .0054088     .021462
 dummy_dayafter |   -.003272   .0043865    -0.75   0.456    -.0118694    .0053254
           reSP |   .1493364   .1090702     1.37   0.171    -.0644372      .36311
          reLib |   .0056622   .0307498     0.18   0.854    -.0546062    .0659306
        reTnote |  -.1653407   .0651995    -2.54   0.011    -.2931293    -.037552
           reCR |   .2883893   .2221069     1.30   0.194    -.1469322    .7237108
          reBDI |  -.0300195   .0473842    -0.63   0.526    -.1228909    .0628518
      reCL2011M |  -.0640971   .1388922    -0.46   0.644    -.3363208    .2081265
          _cons |   .0005077   .0013942     0.36   0.716     -.002225    .0032403
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.40e-16   .1853625     0.00   1.000    -.3633038    .3633038
                |
          garch |
            L1. |  -1.51e-16          .        .       .            .           .
                |
          _cons |   .0000446   .0000194     2.30   0.022     6.55e-06    .0000826
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011M]dummy_eventday = 0

           chi2(  1) =   20.55
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011M]dummy_daybefore = 0

           chi2(  1) =   10.76
         Prob > chi2 =    0.0010

 ( 1)  [reQL2011M]dummy_dayafter = 0

           chi2(  1) =    0.56
         Prob > chi2 =    0.4557
(269 observations deleted)
(816 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  230.82894
                                                                 (not concave)
Gradient vector (length = 52231.52):
          reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         9.68e-06        -.0000127         .0000125         1.522578        -7.010232        -1.908266        -1.654349

          reQL2011N:       reQL2011N:       reQL2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000003         __000004            _cons            _cons
r1        -4.410262        -1.163219         -317.082         1.230422         -2.09224        -52230.56        -.9879141
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  230.82894
                                                                 (not concave)
Gradient vector (length = 52231.52):
          reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000157         6.87e-06        -7.06e-06         1.522579        -7.010232        -1.908265        -1.654349

          reQL2011N:       reQL2011N:       reQL2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000003         __000004            _cons            _cons
r1         -4.41026        -1.163218        -317.0821         1.230422         -2.09224        -52230.56        -.9879141
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    317.46
Log pseudolikelihood =  230.8289                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011N |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011N       |
 dummy_eventday |   .0095567    .002683     3.56   0.000     .0042981    .0148153
dummy_daybefore |   .0129155    .003962     3.26   0.001     .0051502    .0206809
 dummy_dayafter |  -.0022319   .0041208    -0.54   0.588    -.0103084    .0058446
           reSP |   .1413091   .1118717     1.26   0.207    -.0779555    .3605737
          reLib |   .0136374   .0304004     0.45   0.654    -.0459463     .073221
        reTnote |  -.1684511   .0669819    -2.51   0.012    -.2997332    -.037169
           reCR |   .2054763   .2104667     0.98   0.329    -.2070308    .6179834
          reBDI |  -.0369688    .046706    -0.79   0.429    -.1285109    .0545733
      reCL2011N |   -.011224   .1190039    -0.09   0.925    -.2444673    .2220194
          _cons |   .0001599   .0012602     0.13   0.899      -.00231    .0026297
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.54e-16   .1249908     0.00   1.000    -.2449775    .2449775
                |
          garch |
            L1. |  -4.17e-16          .        .       .            .           .
                |
          _cons |   .0000401   .0000175     2.29   0.022     5.73e-06    .0000744
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011N]dummy_eventday = 0

           chi2(  1) =   12.69
         Prob > chi2 =    0.0004

 ( 1)  [reQL2011N]dummy_daybefore = 0

           chi2(  1) =   10.63
         Prob > chi2 =    0.0011

 ( 1)  [reQL2011N]dummy_dayafter = 0

           chi2(  1) =    0.29
         Prob > chi2 =    0.5881
(289 observations deleted)
(836 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   230.8294
                                                                 (not concave)
Gradient vector (length = 52271.34):
          reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -5.98e-06        -2.33e-06         6.05e-06         1.524158        -7.012382        -1.907711        -1.655132

          reQL2011Q:       reQL2011Q:       reQL2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000003         __000004            _cons            _cons
r1        -4.410089        -1.188193        -317.1229          1.23328        -2.093904        -52270.38        -.9884374
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   230.8294
                                                                 (not concave)
Gradient vector (length = 52271.34):
          reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000145         .0000507        -.0000143         1.524159        -7.012382         -1.90771        -1.655131

          reQL2011Q:       reQL2011Q:       reQL2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000003         __000004            _cons            _cons
r1        -4.410087        -1.188193        -317.1228          1.23328        -2.093904        -52270.38        -.9884374
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    296.43
Log pseudolikelihood =  230.8294                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011Q |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011Q       |
 dummy_eventday |   .0095572   .0026811     3.56   0.000     .0043023    .0148121
dummy_daybefore |    .012913   .0039672     3.25   0.001     .0051375    .0206885
 dummy_dayafter |   -.002242   .0041137    -0.55   0.586    -.0103048    .0058207
           reSP |   .1412747   .1120871     1.26   0.208     -.078412    .3609613
          reLib |   .0137174   .0301714     0.45   0.649    -.0454174    .0728521
        reTnote |  -.1684949   .0668515    -2.52   0.012    -.2995213   -.0374684
           reCR |   .2046971    .204939     1.00   0.318     -.196976    .6063703
          reBDI |  -.0369745   .0467407    -0.79   0.429    -.1285846    .0546355
      reCL2011Q |  -.0107172   .1169622    -0.09   0.927    -.2399589    .2185245
          _cons |   .0001587   .0012558     0.13   0.899    -.0023027    .0026201
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.27e-16   .1248973     0.00   1.000    -.2447942    .2447942
                |
          garch |
            L1. |  -2.09e-16          .        .       .            .           .
                |
          _cons |   .0000401   .0000175     2.28   0.022     5.70e-06    .0000744
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011Q]dummy_eventday = 0

           chi2(  1) =   12.71
         Prob > chi2 =    0.0004

 ( 1)  [reQL2011Q]dummy_daybefore = 0

           chi2(  1) =   10.59
         Prob > chi2 =    0.0011

 ( 1)  [reQL2011Q]dummy_dayafter = 0

           chi2(  1) =    0.30
         Prob > chi2 =    0.5857
(312 observations deleted)
(859 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  230.82988
                                                                 (not concave)
Gradient vector (length =  52269.2):
          reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -7.79e-06        -4.52e-06        -7.66e-06         1.525048        -7.013688        -1.906097        -1.654118

          reQL2011U:       reQL2011U:       reQL2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000003         __000004            _cons            _cons
r1        -4.411398        -1.187365        -317.1617         1.255886        -2.093751        -52268.24        -.9885732
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  230.82988
                                                                 (not concave)
Gradient vector (length =  52269.2):
          reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000237         .0000502         .0000244         1.525047        -7.013687        -1.906097        -1.654119

          reQL2011U:       reQL2011U:       reQL2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000003         __000004            _cons            _cons
r1        -4.411394        -1.187365        -317.1616         1.255886        -2.093751        -52268.24        -.9885732
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     71.89
Log pseudolikelihood =  230.8299                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011U |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011U       |
 dummy_eventday |   .0095593   .0026791     3.57   0.000     .0043084    .0148102
dummy_daybefore |   .0129129   .0039654     3.26   0.001     .0051409    .0206849
 dummy_dayafter |   -.002231   .0041187    -0.54   0.588    -.0103035    .0058414
           reSP |   .1413257   .1122082     1.26   0.208    -.0785983    .3612497
          reLib |   .0137014   .0300342     0.46   0.648    -.0451645    .0725672
        reTnote |  -.1684872   .0667724    -2.52   0.012    -.2993587   -.0376156
           reCR |   .2051073   .2013653     1.02   0.308    -.1895615     .599776
          reBDI |  -.0369961   .0467492    -0.79   0.429    -.1286228    .0546307
      reCL2011U |  -.0111602   .1159054    -0.10   0.923    -.2383306    .2160103
          _cons |   .0001588   .0012534     0.13   0.899    -.0022978    .0026155
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.56e-16   .1247756     0.00   1.000    -.2445557    .2445557
                |
          garch |
            L1. |  -4.17e-16          .        .       .            .           .
                |
          _cons |   .0000401   .0000175     2.28   0.022     5.67e-06    .0000744
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011U]dummy_eventday = 0

           chi2(  1) =   12.73
         Prob > chi2 =    0.0004

 ( 1)  [reQL2011U]dummy_daybefore = 0

           chi2(  1) =   10.60
         Prob > chi2 =    0.0011

 ( 1)  [reQL2011U]dummy_dayafter = 0

           chi2(  1) =    0.29
         Prob > chi2 =    0.5880
(333 observations deleted)
(879 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  229.86205
                                                                 (not concave)
Gradient vector (length = 51559.08):
          reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000214        -9.41e-06        -5.99e-06         1.672448        -6.545799        -1.578356        -1.480708

          reQL2011V:       reQL2011V:       reQL2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000003         __000004            _cons            _cons
r1        -2.846602         -.701249        -252.0864        -5.171479        -2.131117        -51558.46        -1.007943
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  229.86205
                                                                 (not concave)
Gradient vector (length = 51559.08):
          reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000101         .0000161         .0000341         1.672447        -6.545798        -1.578357        -1.480709

          reQL2011V:       reQL2011V:       reQL2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000003         __000004            _cons            _cons
r1        -2.846598         -.701249        -252.0863        -5.171479        -2.131117        -51558.46        -1.007943
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     51.52
Log pseudolikelihood =  229.8621                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011V       |
 dummy_eventday |   .0082409   .0293224     0.28   0.779      -.04923    .0657117
dummy_daybefore |   .0126072   .0089796     1.40   0.160    -.0049925    .0302068
 dummy_dayafter |  -.0016146   .0201306    -0.08   0.936    -.0410698    .0378407
           reSP |   .1474867   .1072377     1.38   0.169    -.0626954    .3576687
          reLib |   .0081487   .0555835     0.15   0.883     -.100793    .1170904
        reTnote |  -.1568038   .3306956    -0.47   0.635    -.8049553    .4913476
           reCR |   .1666295   1.410955     0.12   0.906    -2.598791     2.93205
          reBDI |  -.0395643   .2681651    -0.15   0.883    -.5651582    .4860297
      reCL2011V |   .0036874   1.371507     0.00   0.998    -2.684417    2.691792
          _cons |   .0001183    .007951     0.01   0.988    -.0154653    .0157019
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.24e-16   5.116211    -0.00   1.000    -10.02759    10.02759
                |
          garch |
            L1. |  -4.45e-16          .        .       .            .           .
                |
          _cons |   .0000413   .0001708     0.24   0.809    -.0002935    .0003761
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011V]dummy_eventday = 0

           chi2(  1) =    0.08
         Prob > chi2 =    0.7787

 ( 1)  [reQL2011V]dummy_daybefore = 0

           chi2(  1) =    1.97
         Prob > chi2 =    0.1603

 ( 1)  [reQL2011V]dummy_dayafter = 0

           chi2(  1) =    0.01
         Prob > chi2 =    0.9361
(354 observations deleted)
(901 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  229.86267
                                                                 (not concave)
Gradient vector (length = 51578.22):
          reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         7.32e-06        -.0000174        -9.26e-06         1.672318        -6.545244        -1.580284         -1.48217

          reQL2011X:       reQL2011X:       reQL2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000003         __000004            _cons            _cons
r1        -2.844875        -.7172011        -252.0072        -5.189703        -2.131915         -51577.6        -1.008173
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  229.86267
                                                                 (not concave)
Gradient vector (length = 51578.22):
          reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000255        -3.61e-06         .0000167         1.672318        -6.545244        -1.580285         -1.48217

          reQL2011X:       reQL2011X:       reQL2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000003         __000004            _cons            _cons
r1         -2.84487        -.7172011        -252.0072        -5.189703        -2.131915         -51577.6        -1.008173
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    254.18
Log pseudolikelihood =  229.8627                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011X       |
 dummy_eventday |   .0082391   .0394737     0.21   0.835    -.0691279    .0856061
dummy_daybefore |   .0126043   .0112342     1.12   0.262    -.0094144     .034623
 dummy_dayafter |  -.0016304   .0285939    -0.06   0.955    -.0576734    .0544125
           reSP |   .1474172    .109128     1.35   0.177    -.0664698    .3613042
          reLib |   .0082056   .0657133     0.12   0.901    -.1205901    .1370013
        reTnote |  -.1568417   .4478713    -0.35   0.726    -1.034653    .7209699
           reCR |   .1657737   1.966226     0.08   0.933    -3.687958    4.019506
          reBDI |  -.0395472   .3539898    -0.11   0.911    -.7333545      .65426
      reCL2011X |   .0044347   1.916696     0.00   0.998    -3.752221     3.76109
          _cons |   .0001175   .0105696     0.01   0.991    -.0205986    .0208335
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.26e-16   6.855147    -0.00   1.000    -13.43584    13.43584
                |
          garch |
            L1. |  -4.45e-16          .        .       .            .           .
                |
          _cons |   .0000413   .0002276     0.18   0.856    -.0004048    .0004875
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011X]dummy_eventday = 0

           chi2(  1) =    0.04
         Prob > chi2 =    0.8347

 ( 1)  [reQL2011X]dummy_daybefore = 0

           chi2(  1) =    1.26
         Prob > chi2 =    0.2619

 ( 1)  [reQL2011X]dummy_dayafter = 0

           chi2(  1) =    0.00
         Prob > chi2 =    0.9545
(374 observations deleted)
(1226 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  229.86482
                                                                 (not concave)
Gradient vector (length = 51628.94):
          reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.17e-06         9.47e-06        -1.40e-06         1.672318        -6.544365         -1.58544        -1.486213

          reQL2011Z:       reQL2011Z:       reQL2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000003         __000004            _cons            _cons
r1        -2.839985        -.7366169        -251.8005        -5.237824        -2.133961        -51628.33        -1.008966
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  229.86482
                                                                 (not concave)
Gradient vector (length = 51628.94):
          reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000117         7.88e-06         9.34e-06         1.672318        -6.544365         -1.58544        -1.486214

          reQL2011Z:       reQL2011Z:       reQL2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000003         __000004            _cons            _cons
r1        -2.839983         -.736617        -251.8005        -5.237824        -2.133961        -51628.33        -1.008966
------------------------------------------------------------------------------

ARCH family regression

Sample: 463 - 525                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    255.58
Log pseudolikelihood =  229.8648                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011Z       |
 dummy_eventday |   .0082347   .0633793     0.13   0.897    -.1159864    .1324557
dummy_daybefore |   .0125962   .0168253     0.75   0.454    -.0203807    .0455731
 dummy_dayafter |   -.001675    .048998    -0.03   0.973    -.0977092    .0943593
           reSP |   .1472278    .115133     1.28   0.201    -.0784287    .3728843
          reLib |   .0083719   .0915384     0.09   0.927      -.17104    .1877839
        reTnote |  -.1569489   .7240132    -0.22   0.828    -1.575989    1.262091
           reCR |    .163311   3.307329     0.05   0.961    -6.318935    6.645557
          reBDI |  -.0394992   .5570903    -0.07   0.943    -1.131376    1.052378
      reCL2011Z |   .0065371   3.218498     0.00   0.998    -6.301602    6.314676
          _cons |    .000115   .0166786     0.01   0.994    -.0325744    .0328044
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -8.18e-18   10.94235    -0.00   1.000    -21.44661    21.44661
                |
          garch |
            L1. |  -2.79e-17          .        .       .            .           .
                |
          _cons |   .0000413   .0003598     0.11   0.909     -.000664    .0007466
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)

 ( 1)  [reQL2011Z]dummy_eventday = 0

           chi2(  1) =    0.02
         Prob > chi2 =    0.8966

 ( 1)  [reQL2011Z]dummy_daybefore = 0

           chi2(  1) =    0.56
         Prob > chi2 =    0.4541

 ( 1)  [reQL2011Z]dummy_dayafter = 0

           chi2(  1) =    0.00
         Prob > chi2 =    0.9727
(note: file C:/yourdirectory/temp_garch.dta not found)
file C:/yourdirectory/temp_garch.dta saved
(470 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010N |     60    0.98645      0.737    -0.659    0.74504
resid_~2010Q |     60    0.97918      1.132     0.267    0.39490
resid_~2010U |     60    0.98062      1.053     0.112    0.45551
resid_~2010V |     60    0.98064      1.052     0.110    0.45614
resid_~2010X |     60    0.98006      1.084     0.174    0.43103
resid_~2010Z |     60    0.97926      1.128     0.259    0.39794
resid_~2011F |     60    0.95549      2.420     1.905    0.02842
resid_~2011G |     60    0.95522      2.434     1.917    0.02760
resid_~2011H |     60    0.95528      2.431     1.914    0.02778
resid_~2011J |     60    0.93446      3.563     2.739    0.00308
resid_~2011K |     60    0.93477      3.546     2.728    0.00318
resid_~2011M |     60    0.93495      3.536     2.722    0.00324
resid_~2011N |     60    0.92323      4.173     3.080    0.00104
resid_~2011Q |     60    0.92321      4.174     3.080    0.00104
resid_~2011U |     60    0.92321      4.174     3.080    0.00103
resid_~2011V |     60    0.93019      3.795     2.875    0.00202
resid_~2011X |     60    0.93021      3.794     2.874    0.00203
resid_~2011Z |     60    0.93025      3.791     2.873    0.00204
Jarque-Bera normality test:  .5021 Chi(2)   .778
Jarque-Bera test for Ho: normality: (resid_QL_2010N)
Jarque-Bera normality test:  1.327 Chi(2)   .515
Jarque-Bera test for Ho: normality: (resid_QL_2010Q)
Jarque-Bera normality test:  1.246 Chi(2)  .5364
Jarque-Bera test for Ho: normality: (resid_QL_2010U)
Jarque-Bera normality test:  1.249 Chi(2)  .5355
Jarque-Bera test for Ho: normality: (resid_QL_2010V)
Jarque-Bera normality test:  1.305 Chi(2)  .5207
Jarque-Bera test for Ho: normality: (resid_QL_2010X)
Jarque-Bera normality test:  1.382 Chi(2)  .5011
Jarque-Bera test for Ho: normality: (resid_QL_2010Z)
Jarque-Bera normality test:  8.819 Chi(2)  .0122
Jarque-Bera test for Ho: normality: (resid_QL_2011F)
Jarque-Bera normality test:   8.89 Chi(2)  .0117
Jarque-Bera test for Ho: normality: (resid_QL_2011G)
Jarque-Bera normality test:  8.925 Chi(2)  .0115
Jarque-Bera test for Ho: normality: (resid_QL_2011H)
Jarque-Bera normality test:  18.43 Chi(2)  1.0e-04
Jarque-Bera test for Ho: normality: (resid_QL_2011J)
Jarque-Bera normality test:  18.46 Chi(2)  9.8e-05
Jarque-Bera test for Ho: normality: (resid_QL_2011K)
Jarque-Bera normality test:   18.5 Chi(2)  9.6e-05
Jarque-Bera test for Ho: normality: (resid_QL_2011M)
Jarque-Bera normality test:  31.63 Chi(2)  1.4e-07
Jarque-Bera test for Ho: normality: (resid_QL_2011N)
Jarque-Bera normality test:  31.67 Chi(2)  1.3e-07
Jarque-Bera test for Ho: normality: (resid_QL_2011Q)
Jarque-Bera normality test:  31.67 Chi(2)  1.3e-07
Jarque-Bera test for Ho: normality: (resid_QL_2011U)
Jarque-Bera normality test:  27.31 Chi(2)  1.2e-06
Jarque-Bera test for Ho: normality: (resid_QL_2011V)
Jarque-Bera normality test:  27.32 Chi(2)  1.2e-06
Jarque-Bera test for Ho: normality: (resid_QL_2011X)
Jarque-Bera normality test:  27.36 Chi(2)  1.1e-06
Jarque-Bera test for Ho: normality: (resid_QL_2011Z)
file C:/yourdirectory/output/graham_resids_QL_garch_2mo.dta saved
(470 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_QL_garch_2mo.dta saved
(532 observations deleted)
(note: j = 201007 201008 201009 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110
>  201111 201112)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      18
Number of variables                 163   ->      11
j variable (18 values)                    ->   contract
xij variables:
b_QL_garch_Day201007 b_QL_garch_Day201008 ... b_QL_garch_Day201112->b_QL_garch_Day
se_QL_garch_Day201007 se_QL_garch_Day201008 ... se_QL_garch_Day201112->se_QL_garch_Day
p_QL_garch_Day201007 p_QL_garch_Day201008 ... p_QL_garch_Day201112->p_QL_garch_Day
b_QL_garch_Before201007 b_QL_garch_Before201008 ... b_QL_garch_Before201112->b_QL_garch_Before
se_QL_garch_Before201007 se_QL_garch_Before201008 ... se_QL_garch_Before201112->se_QL_garch_Before
p_QL_garch_Before201007 p_QL_garch_Before201008 ... p_QL_garch_Before201112->p_QL_garch_Before
b_QL_garch_After201007 b_QL_garch_After201008 ... b_QL_garch_After201112->b_QL_garch_After
se_QL_garch_After201007 se_QL_garch_After201008 ... se_QL_garch_After201112->se_QL_garch_After
p_QL_garch_After201007 p_QL_garch_After201008 ... p_QL_garch_After201112->p_QL_garch_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_QL_garch.dta not found)
file C:/yourdirectory/output/coeffs_QL_garch.dta saved
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(755 missing values generated)
(755 real changes made)
(13212 observations deleted)
(5955 observations deleted)
(11873 observations deleted)
(1076 observations deleted)
(5207 observations deleted)
(425 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(674 real changes made)
(63 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.62
       Model |  .001102579     6  .000183763           Prob > F      =  0.1580
    Residual |  .006342522    56  .000113259           R-squared     =  0.1481
-------------+------------------------------           Adj R-squared =  0.0568
       Total |  .007445101    62  .000120082           Root MSE      =  .01064

------------------------------------------------------------------------------
   reQL2010N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1544352   .1550531     1.00   0.324    -.1561735     .465044
       reLib |   .0555184   .0827852     0.67   0.505    -.1103203     .221357
     reTnote |  -.2323885   .1098905    -2.11   0.039    -.4525256   -.0122514
        reCR |   .4416482    .318944     1.38   0.172    -.1972734     1.08057
       reBDI |  -.0338466   .0590575    -0.57   0.569     -.152153    .0844597
   reCL2010N |  -.0575084     .18258    -0.31   0.754      -.42326    .3082432
       _cons |   .0015036   .0016726     0.90   0.373     -.001847    .0048542
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)
(102 observations deleted)
(441 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.70
       Model |  .001100162     6   .00018336           Prob > F      =  0.1376
    Residual |  .006033501    56  .000107741           R-squared     =  0.1542
-------------+------------------------------           Adj R-squared =  0.0636
       Total |  .007133663    62  .000115059           Root MSE      =  .01038

------------------------------------------------------------------------------
   reQL2010Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1303604   .1510462     0.86   0.392    -.1722214    .4329422
       reLib |   .0547402   .0811792     0.67   0.503    -.1078813    .2173618
     reTnote |  -.2280892   .1066151    -2.14   0.037    -.4416649   -.0145135
        reCR |   .4225413   .3192066     1.32   0.191    -.2169063    1.061989
       reBDI |  -.0326095   .0577554    -0.56   0.575    -.1483074    .0830884
   reCL2010Q |  -.0293716   .1885394    -0.16   0.877    -.4070614    .3483183
       _cons |   .0016539   .0016388     1.01   0.317     -.001629    .0049368
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)
(124 observations deleted)
(464 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.93
       Model |  .001197147     6  .000199525           Prob > F      =  0.0922
    Residual |   .00579727    56  .000103523           R-squared     =  0.1712
-------------+------------------------------           Adj R-squared =  0.0824
       Total |  .006994417    62  .000112813           Root MSE      =  .01017

------------------------------------------------------------------------------
   reQL2010U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0949568   .1482049     0.64   0.524    -.2019334    .3918469
       reLib |   .0553353   .0791819     0.70   0.488    -.1032851    .2139558
     reTnote |  -.2275336   .1042211    -2.18   0.033    -.4363136   -.0187536
        reCR |   .4113962   .3090457     1.33   0.189    -.2076966    1.030489
       reBDI |  -.0284416   .0566247    -0.50   0.617    -.1418744    .0849912
   reCL2010U |    .012618    .185756     0.07   0.946    -.3594959    .3847319
       _cons |   .0017909   .0016059     1.12   0.270    -.0014261     .005008
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)
(145 observations deleted)
(485 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    2.43
       Model |  .000947196     6  .000157866           Prob > F      =  0.0371
    Residual |  .003640512    56  .000065009           R-squared     =  0.2065
-------------+------------------------------           Adj R-squared =  0.1214
       Total |  .004587708    62  .000073995           Root MSE      =  .00806

------------------------------------------------------------------------------
   reQL2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0741274   .1175093     0.63   0.531     -.161272    .3095267
       reLib |   .0577004    .062155     0.93   0.357     -.066811    .1822118
     reTnote |  -.1672973   .0825542    -2.03   0.047    -.3326733   -.0019213
        reCR |   .5456169   .2416925     2.26   0.028     .0614487    1.029785
       reBDI |  -.0413138   .0448325    -0.92   0.361     -.131124    .0484964
   reCL2010V |  -.1322605   .1469773    -0.90   0.372    -.4266913    .1621704
       _cons |   .0010026     .00127     0.79   0.433    -.0015415    .0035466
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)
(166 observations deleted)
(506 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    2.43
       Model |  .000949016     6  .000158169           Prob > F      =  0.0367
    Residual |  .003638692    56  .000064977           R-squared     =  0.2069
-------------+------------------------------           Adj R-squared =  0.1219
       Total |  .004587708    62  .000073995           Root MSE      =  .00806

------------------------------------------------------------------------------
   reQL2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0747367   .1175123     0.64   0.527    -.1606686    .3101421
       reLib |   .0585584   .0616558     0.95   0.346    -.0649531    .1820698
     reTnote |  -.1671956   .0825298    -2.03   0.048    -.3325227   -.0018686
        reCR |    .546428   .2394845     2.28   0.026     .0666829    1.026173
       reBDI |  -.0413757   .0448033    -0.92   0.360    -.1311274    .0483761
   reCL2010X |  -.1345404   .1469552    -0.92   0.364     -.428927    .1598463
       _cons |   .0010004   .0012675     0.79   0.433    -.0015388    .0035396
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)
(186 observations deleted)
(1080 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 675
                delta:  1 unit
(674 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    2.43
       Model |  .000947197     6  .000157866           Prob > F      =  0.0371
    Residual |  .003640511    56  .000065009           R-squared     =  0.2065
-------------+------------------------------           Adj R-squared =  0.1214
       Total |  .004587708    62  .000073995           Root MSE      =  .00806

------------------------------------------------------------------------------
   reQL2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |    .075251   .1175858     0.64   0.525    -.1603016    .3108036
       reLib |   .0595844   .0614039     0.97   0.336    -.0634224    .1825911
     reTnote |  -.1674469   .0825368    -2.03   0.047     -.332788   -.0021058
        reCR |   .5412777   .2376368     2.28   0.027     .0652339    1.017321
       reBDI |  -.0414976    .044809    -0.93   0.358    -.1312609    .0482656
   reCL2010Z |  -.1327351   .1475043    -0.90   0.372    -.4282217    .1627515
       _cons |   .0009915   .0012668     0.78   0.437    -.0015461    .0035291
------------------------------------------------------------------------------
(612 missing values generated)
(612 missing values generated)
(285 observations deleted)
(690 observations deleted)
(533 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    2.15
       Model |  .000741386     6  .000123564           Prob > F      =  0.0612
    Residual |  .003211949    56  .000057356           R-squared     =  0.1875
-------------+------------------------------           Adj R-squared =  0.1005
       Total |  .003953336    62  .000063763           Root MSE      =  .00757

------------------------------------------------------------------------------
   reQL2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1658494    .110459     1.50   0.139    -.0554266    .3871253
       reLib |    .022094   .0574617     0.38   0.702    -.0930157    .1372036
     reTnote |  -.1531732    .077531    -1.98   0.053    -.3084865    .0021402
        reCR |   .4166151   .2209701     1.89   0.065    -.0260411    .8592713
       reBDI |  -.0364413   .0420793    -0.87   0.390    -.1207363    .0478536
   reCL2011F |  -.1254947   .1382138    -0.91   0.368    -.4023703    .1513808
       _cons |   .0010095    .001189     0.85   0.399    -.0013724    .0033915
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(164 observations deleted)
(711 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    2.15
       Model |  .000741427     6  .000123571           Prob > F      =  0.0612
    Residual |  .003211908    56  .000057356           R-squared     =  0.1875
-------------+------------------------------           Adj R-squared =  0.1005
       Total |  .003953336    62  .000063763           Root MSE      =  .00757

------------------------------------------------------------------------------
   reQL2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1655047   .1104329     1.50   0.140     -.055719    .3867285
       reLib |   .0226209   .0572674     0.40   0.694    -.0920995    .1373413
     reTnote |  -.1529919   .0775512    -1.97   0.053    -.3083457    .0023618
        reCR |   .4141872   .2186766     1.89   0.063    -.0238747    .8522491
       reBDI |  -.0366184   .0420577    -0.87   0.388    -.1208701    .0476334
   reCL2011G |  -.1251707   .1377957    -0.91   0.368    -.4012087    .1508673
       _cons |   .0010061    .001188     0.85   0.401    -.0013739     .003386
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(183 observations deleted)
(733 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    2.15
       Model |  .000741551     6  .000123592           Prob > F      =  0.0612
    Residual |  .003211784    56  .000057353           R-squared     =  0.1876
-------------+------------------------------           Adj R-squared =  0.1005
       Total |  .003953336    62  .000063763           Root MSE      =  .00757

------------------------------------------------------------------------------
   reQL2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |    .165371   .1104208     1.50   0.140    -.0558285    .3865705
       reLib |   .0227827   .0572009     0.40   0.692    -.0918045    .1373699
     reTnote |  -.1528719   .0775628    -1.97   0.054    -.3082488     .002505
        reCR |   .4123598   .2168109     1.90   0.062    -.0219647    .8466843
       reBDI |  -.0367681   .0420392    -0.87   0.386    -.1209828    .0474466
   reCL2011H |   -.125203   .1376491    -0.91   0.367    -.4009473    .1505412
       _cons |   .0010082   .0011885     0.85   0.400    -.0013727    .0033891
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(206 observations deleted)
(753 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.70
       Model |   .00057563     6  .000095938           Prob > F      =  0.1370
    Residual |  .003152338    56  .000056292           R-squared     =  0.1544
-------------+------------------------------           Adj R-squared =  0.0638
       Total |  .003727969    62  .000060129           Root MSE      =   .0075

------------------------------------------------------------------------------
   reQL2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1437713    .109396     1.31   0.194    -.0753752    .3629178
       reLib |    .007465   .0565261     0.13   0.895    -.1057703    .1207004
     reTnote |    -.15432   .0768358    -2.01   0.049    -.3082407   -.0003994
        reCR |   .3145916   .2129405     1.48   0.145    -.1119795    .7411626
       reBDI |  -.0318784   .0416199    -0.77   0.447    -.1152532    .0514963
   reCL2011J |  -.0709198   .1362545    -0.52   0.605    -.3438704    .2020307
       _cons |   .0008974    .001177     0.76   0.449    -.0014604    .0032553
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(226 observations deleted)
(773 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.70
       Model |  .000573526     6  .000095588           Prob > F      =  0.1388
    Residual |  .003154442    56  .000056329           R-squared     =  0.1538
-------------+------------------------------           Adj R-squared =  0.0632
       Total |  .003727969    62  .000060129           Root MSE      =  .00751

------------------------------------------------------------------------------
   reQL2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1435369   .1094357     1.31   0.195     -.075689    .3627629
       reLib |     .00825   .0564657     0.15   0.884    -.1048644    .1213643
     reTnote |  -.1547164    .076842    -2.01   0.049    -.3086494   -.0007835
        reCR |    .307018   .2112413     1.45   0.152    -.1161491    .7301851
       reBDI |  -.0321303   .0416138    -0.77   0.443    -.1154927    .0512322
   reCL2011K |   -.065717   .1360333    -0.48   0.631    -.3382244    .2067904
       _cons |   .0008868   .0011776     0.75   0.455    -.0014722    .0032458
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(247 observations deleted)
(795 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.69
       Model |  .000572224     6  .000095371           Prob > F      =  0.1399
    Residual |  .003155745    56  .000056353           R-squared     =  0.1535
-------------+------------------------------           Adj R-squared =  0.0628
       Total |  .003727969    62  .000060129           Root MSE      =  .00751

------------------------------------------------------------------------------
   reQL2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1433382   .1094545     1.31   0.196    -.0759255    .3626019
       reLib |   .0088015   .0563961     0.16   0.877    -.1041734    .1217763
     reTnote |  -.1549709   .0768451    -2.02   0.049    -.3089102   -.0010317
        reCR |   .3018767   .2097041     1.44   0.156    -.1182111    .7219646
       reBDI |  -.0323541   .0415975    -0.78   0.440     -.115684    .0509757
   reCL2011M |  -.0622286    .135738    -0.46   0.648    -.3341445    .2096873
       _cons |   .0008798   .0011779     0.75   0.458    -.0014799    .0032395
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(269 observations deleted)
(816 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.68
       Model |  .000499279     6  .000083213           Prob > F      =  0.1433
    Residual |  .002776035    56  .000049572           R-squared     =  0.1524
-------------+------------------------------           Adj R-squared =  0.0616
       Total |  .003275314    62  .000052828           Root MSE      =  .00704

------------------------------------------------------------------------------
   reQL2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1332655   .1026618     1.30   0.200    -.0723908    .3389217
       reLib |   .0138912   .0527587     0.26   0.793    -.0917971    .1195796
     reTnote |  -.1583596   .0720568    -2.20   0.032    -.3027067   -.0140125
        reCR |   .2183615   .1946511     1.12   0.267    -.1715716    .6082946
       reBDI |  -.0319381   .0389956    -0.82   0.416    -.1100557    .0461795
   reCL2011N |  -.0078661   .1265712    -0.06   0.951    -.2614186    .2456865
       _cons |   .0005095    .001104     0.46   0.646    -.0017022    .0027211
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(289 observations deleted)
(836 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.68
       Model |  .000499257     6  .000083209           Prob > F      =  0.1433
    Residual |  .002776057    56  .000049572           R-squared     =  0.1524
-------------+------------------------------           Adj R-squared =  0.0616
       Total |  .003275314    62  .000052828           Root MSE      =  .00704

------------------------------------------------------------------------------
   reQL2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1332435   .1026652     1.30   0.200    -.0724197    .3389067
       reLib |   .0139754   .0526347     0.27   0.792    -.0914645    .1194153
     reTnote |   -.158399   .0720368    -2.20   0.032    -.3027062   -.0140919
        reCR |   .2176159   .1926116     1.13   0.263    -.1682315    .6034634
       reBDI |  -.0319617   .0389801    -0.82   0.416    -.1100483    .0461248
   reCL2011Q |   -.007348   .1258974    -0.06   0.954    -.2595509    .2448549
       _cons |   .0005081   .0011025     0.46   0.647    -.0017006    .0027168
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(312 observations deleted)
(859 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.68
       Model |  .000499295     6  .000083216           Prob > F      =  0.1433
    Residual |  .002776018    56  .000049572           R-squared     =  0.1524
-------------+------------------------------           Adj R-squared =  0.0616
       Total |  .003275314    62  .000052828           Root MSE      =  .00704

------------------------------------------------------------------------------
   reQL2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1332947   .1026739     1.30   0.200    -.0723858    .3389752
       reLib |   .0139035   .0525209     0.26   0.792    -.0913086    .1191155
     reTnote |  -.1583711   .0720106    -2.20   0.032    -.3026257   -.0141165
        reCR |   .2184529   .1907079     1.15   0.257    -.1635808    .6004867
       reBDI |  -.0319577   .0389653    -0.82   0.416    -.1100146    .0460991
   reCL2011U |  -.0081117    .125341    -0.06   0.949    -.2591999    .2429765
       _cons |   .0005094   .0011009     0.46   0.645     -.001696    .0027148
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(333 observations deleted)
(879 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.55
       Model |   .00046915     6  .000078192           Prob > F      =  0.1787
    Residual |  .002822613    56  .000050404           R-squared     =  0.1425
-------------+------------------------------           Adj R-squared =  0.0506
       Total |  .003291762    62  .000053093           Root MSE      =   .0071

------------------------------------------------------------------------------
   reQL2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1383985   .1035497     1.34   0.187    -.0690365    .3458335
       reLib |   .0073563   .0528038     0.14   0.890    -.0984225    .1131351
     reTnote |  -.1470547   .0725832    -2.03   0.048    -.2924563    -.001653
        reCR |    .176787   .1904514     0.93   0.357    -.2047331     .558307
       reBDI |  -.0316374   .0392785    -0.81   0.424    -.1103216    .0470468
   reCL2011V |   .0094801   .1258399     0.08   0.940    -.2426076    .2615677
       _cons |   .0004584   .0011079     0.41   0.681    -.0017611    .0026778
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(354 observations deleted)
(901 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.55
       Model |  .000469202     6    .0000782           Prob > F      =  0.1786
    Residual |   .00282256    56  .000050403           R-squared     =  0.1425
-------------+------------------------------           Adj R-squared =  0.0507
       Total |  .003291762    62  .000053093           Root MSE      =   .0071

------------------------------------------------------------------------------
   reQL2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |    .138341   .1035577     1.34   0.187    -.0691099    .3457919
       reLib |   .0074157   .0526809     0.14   0.889    -.0981168    .1129481
     reTnote |  -.1470876   .0725707    -2.03   0.047    -.2924641   -.0017111
        reCR |   .1759725   .1885188     0.93   0.355     -.201676     .553621
       reBDI |  -.0316459   .0392727    -0.81   0.424    -.1103186    .0470267
   reCL2011X |   .0102634   .1251938     0.08   0.935      -.24053    .2610568
       _cons |   .0004574    .001106     0.41   0.681    -.0017582    .0026729
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(374 observations deleted)
(1226 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 533
                delta:  1 unit
(532 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.55
       Model |  .000469348     6  .000078225           Prob > F      =  0.1784
    Residual |  .002822414    56    .0000504           R-squared     =  0.1426
-------------+------------------------------           Adj R-squared =  0.0507
       Total |  .003291762    62  .000053093           Root MSE      =   .0071

------------------------------------------------------------------------------
   reQL2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1382134   .1035635     1.33   0.187    -.0692492     .345676
       reLib |    .007591   .0525441     0.14   0.886    -.0976674    .1128494
     reTnote |  -.1471753   .0725545    -2.03   0.047    -.2925194   -.0018312
        reCR |   .1737589   .1869188     0.93   0.357    -.2006843    .5482022
       reBDI |  -.0316718   .0392651    -0.81   0.423    -.1103293    .0469857
   reCL2011Z |   .0122365   .1247955     0.10   0.922    -.2377588    .2622319
       _cons |   .0004543    .001104     0.41   0.682    -.0017573    .0026659
------------------------------------------------------------------------------
(470 missing values generated)
(470 missing values generated)
(note: file C:/yourdirectory/temp_compositeindex.dta not found)
file C:/yourdirectory/temp_compositeindex.dta saved
file C:/yourdirectory/output/graham_coeffs_QL_2mo.dta saved
file C:/yourdirectory/output/graham_coeffs_QL_2mo.dta saved
(results base_QL_2010N are active now)
(results nocovar_QL_2010N are active now)
(results garch_QL_2010N are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2010N.tex
dir : seeout
(results base_QL_2010Q are active now)
(results nocovar_QL_2010Q are active now)
(results garch_QL_2010Q are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2010Q.tex
dir : seeout
(results base_QL_2010U are active now)
(results nocovar_QL_2010U are active now)
(results garch_QL_2010U are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2010U.tex
dir : seeout
(results base_QL_2010V are active now)
(results nocovar_QL_2010V are active now)
(results garch_QL_2010V are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2010V.tex
dir : seeout
(results base_QL_2010X are active now)
(results nocovar_QL_2010X are active now)
(results garch_QL_2010X are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2010X.tex
dir : seeout
(results base_QL_2010Z are active now)
(results nocovar_QL_2010Z are active now)
(results garch_QL_2010Z are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2010Z.tex
dir : seeout
(results base_QL_2011F are active now)
(results nocovar_QL_2011F are active now)
(results garch_QL_2011F are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011F.tex
dir : seeout
(results base_QL_2011G are active now)
(results nocovar_QL_2011G are active now)
(results garch_QL_2011G are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011G.tex
dir : seeout
(results base_QL_2011H are active now)
(results nocovar_QL_2011H are active now)
(results garch_QL_2011H are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011H.tex
dir : seeout
(results base_QL_2011J are active now)
(results nocovar_QL_2011J are active now)
(results garch_QL_2011J are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011J.tex
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(results base_QL_2011K are active now)
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C:/yourdirectory/output/tex/graham/2mo/QL_2011K.tex
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(results nocovar_QL_2011M are active now)
(results garch_QL_2011M are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011M.tex
dir : seeout
(results base_QL_2011N are active now)
(results nocovar_QL_2011N are active now)
(results garch_QL_2011N are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011N.tex
dir : seeout
(results base_QL_2011Q are active now)
(results nocovar_QL_2011Q are active now)
(results garch_QL_2011Q are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011Q.tex
dir : seeout
(results base_QL_2011U are active now)
(results nocovar_QL_2011U are active now)
(results garch_QL_2011U are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011U.tex
dir : seeout
(results base_QL_2011V are active now)
(results nocovar_QL_2011V are active now)
(results garch_QL_2011V are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011V.tex
dir : seeout
(results base_QL_2011X are active now)
(results nocovar_QL_2011X are active now)
(results garch_QL_2011X are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011X.tex
dir : seeout
(results base_QL_2011Z are active now)
(results nocovar_QL_2011Z are active now)
(results garch_QL_2011Z are active now)
C:/yourdirectory/output/tex/graham/2mo/QL_2011Z.tex
dir : seeout
(470 observations deleted)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     2.41
                                                      Prob > F      =   0.0760
Total (centered) SS     =   54.3997451                Centered R2   =   0.1276
Total (uncentered) SS   =   54.3997451                Uncentered R2 =   0.1276
Residual SS             =  47.45574246                Root MSE      =    .8968

---------------------------------------------------------------------------------
    mean_resids |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   1.827102   .9162111     1.99   0.051    -.0062324    3.660436
dummy_daybefore |   1.925612    .912102     2.11   0.039     .1005004    3.750724
 dummy_dayafter |  -.2956694    .912102    -0.32   0.747    -2.120781    1.529442
          _cons |  -.0548737   .0985732    -0.56   0.580    -.2521182    .1423708
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    3.98
            Prob > F =    0.0508

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    4.46
            Prob > F =    0.0390

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.11
            Prob > F =    0.7470

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     1.89
                                                      Prob > F      =   0.1403
Total (centered) SS     =  39.68544108                Centered R2   =   0.1081
Total (uncentered) SS   =  39.68544109                Uncentered R2 =   0.1081
Residual SS             =  35.39699594                Root MSE      =    .7746

---------------------------------------------------------------------------------
composite_ind~1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   1.651798   .7900659     2.09   0.041     .0708802    3.232717
dummy_daybefore |   1.259194   .7858108     1.60   0.114    -.3132098    2.831598
 dummy_dayafter |   .3829652   .7858108     0.49   0.628    -1.189439    1.955369
          _cons |   -.052299   .0796879    -0.66   0.514    -.2117541    .1071561
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    4.37
            Prob > F =    0.0409

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    2.57
            Prob > F =    0.1144

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.24
            Prob > F =    0.6278
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
composite_~1 |     60    0.95994      2.177     1.677    0.04676
Jarque-Bera normality test:  13.53 Chi(2)  .0012
Jarque-Bera test for Ho: normality: (composite_index)
file C:/yourdirectory/output/graham_kdensity_QL_compositeindex_2mo.dta saved
file C:/yourdirectory/output/graham_resids_QL_compositeindex_2mo.dta saved
file C:/yourdirectory/output/graham_kdensity_QL_compositeindex_2mo.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(12461 observations deleted)
(5232 observations deleted)
(11146 observations deleted)
(848 observations deleted)
(4727 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(1010 real changes made)
(63 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =   1.64037

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.50
                                                      Prob > F      =   0.1719
Total (centered) SS     =  .0427595441                Centered R2   =   0.1911
Total (uncentered) SS   =  .0428688298                Uncentered R2 =   0.1932
Residual SS             =  .0345866217                Root MSE      =   .02555

---------------------------------------------------------------------------------
      reNG2010N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   -.001597   .0280225    -0.06   0.955     -.057803     .054609
dummy_daybefore |   .0355648   .0304517     1.17   0.248    -.0255136    .0966433
 dummy_dayafter |   .0261929   .0292848     0.89   0.375     -.032545    .0849309
           reSP |  -.1411503   .3833321    -0.37   0.714    -.9100172    .6277166
          reLib |  -.1572118   .1989666    -0.79   0.433    -.5562884    .2418648
        reTnote |   .4277796    .261306     1.64   0.108    -.0963339    .9518931
           reCR |   2.063296   .7648603     2.70   0.009      .529181    3.597412
          reBDI |    -.04589   .1941919    -0.24   0.814    -.4353896    .3436095
      reCL2010N |  -1.216379   .4496668    -2.71   0.009    -2.118296   -.3144614
          _cons |    .000961   .0040247     0.24   0.812    -.0071115    .0090334
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010N
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.00
            Prob > F =    0.9548

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    1.36
            Prob > F =    0.2481

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.80
            Prob > F =    0.3751
(496 observations deleted)
(105 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.621768

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.42
                                                      Prob > F      =   0.2040
Total (centered) SS     =  .0394361509                Centered R2   =   0.1800
Total (uncentered) SS   =   .039548354                Uncentered R2 =   0.1823
Residual SS             =  .0323369392                Root MSE      =    .0247

---------------------------------------------------------------------------------
      reNG2010Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0024905   .0270366     0.09   0.927     -.051738    .0567191
dummy_daybefore |   .0336995   .0294505     1.14   0.258    -.0253708    .0927698
 dummy_dayafter |   .0303946   .0291063     1.04   0.301    -.0279853    .0887745
           reSP |  -.0733042   .3688417    -0.20   0.843    -.8131069    .6664986
          reLib |  -.1511639    .188413    -0.80   0.426    -.5290724    .2267446
        reTnote |   .3756888   .2533014     1.48   0.144    -.1323695    .8837471
           reCR |   2.023959   .7687533     2.63   0.011     .4820348    3.565883
          reBDI |  -.0399355   .1864555    -0.21   0.831    -.4139178    .3340468
      reCL2010Q |  -1.210742   .4633414    -2.61   0.012    -2.140087   -.2813966
          _cons |   .0008207    .003755     0.22   0.828     -.006711    .0083523
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010Q
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.01
            Prob > F =    0.9270

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    1.31
            Prob > F =    0.2577

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    1.09
            Prob > F =    0.3011
(496 observations deleted)
(128 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.648956

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.28
                                                      Prob > F      =   0.2705
Total (centered) SS     =  .0368083508                Centered R2   =   0.1675
Total (uncentered) SS   =  .0369089471                Uncentered R2 =   0.1698
Residual SS             =  .0306423231                Root MSE      =   .02404

---------------------------------------------------------------------------------
      reNG2010U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .003208   .0262749     0.12   0.903    -.0494927    .0559088
dummy_daybefore |   .0329843   .0285882     1.15   0.254    -.0243563    .0903249
 dummy_dayafter |   .0302631   .0286647     1.06   0.296     -.027231    .0877573
           reSP |  -.0558475   .3628321    -0.15   0.878    -.7835966    .6719016
          reLib |  -.1281584   .1815757    -0.71   0.483    -.4923532    .2360364
        reTnote |   .3465113   .2468246     1.40   0.166    -.1485562    .8415788
           reCR |   1.844072   .7544022     2.44   0.018     .3309324    3.357211
          reBDI |  -.0436288   .1803697    -0.24   0.810    -.4054046     .318147
      reCL2010U |  -1.114231   .4614739    -2.41   0.019    -2.039831    -.188632
          _cons |   .0006091   .0036236     0.17   0.867    -.0066588    .0078771
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010U
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.01
            Prob > F =    0.9033

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    1.33
            Prob > F =    0.2538

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    1.11
            Prob > F =    0.2959
(496 observations deleted)
(149 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.674251

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.12
                                                      Prob > F      =   0.3646
Total (centered) SS     =  .0335380992                Centered R2   =   0.1522
Total (uncentered) SS   =  .0336422278                Uncentered R2 =   0.1549
Residual SS             =  .0284326954                Root MSE      =   .02316

---------------------------------------------------------------------------------
      reNG2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0037394   .0252844     0.15   0.883    -.0469747    .0544535
dummy_daybefore |   .0305677   .0274841     1.11   0.271    -.0245585    .0856939
 dummy_dayafter |   .0270807   .0277554     0.98   0.334    -.0285895     .082751
           reSP |  -.0506367   .3538294    -0.14   0.887    -.7603285    .6590552
          reLib |  -.0992036   .1731172    -0.57   0.569    -.4464328    .2480255
        reTnote |   .3161192   .2382053     1.33   0.190    -.1616601    .7938984
           reCR |   1.634039   .7276129     2.25   0.029     .1746324    3.093446
          reBDI |  -.0341768   .1729194    -0.20   0.844    -.3810092    .3126556
      reCL2010V |  -.9891553   .4511269    -2.19   0.033    -1.894001   -.0843093
          _cons |   .0002594    .003429     0.08   0.940    -.0066183     .007137
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010V
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.02
            Prob > F =    0.8830

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    1.24
            Prob > F =    0.2711

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.95
            Prob > F =    0.3336
(496 observations deleted)
(170 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.753932

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     1.04
                                                      Prob > F      =   0.4241
Total (centered) SS     =  .0236303013                Centered R2   =   0.1460
Total (uncentered) SS   =  .0237251591                Uncentered R2 =   0.1494
Residual SS             =  .0201811467                Root MSE      =   .01951

---------------------------------------------------------------------------------
      reNG2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0050856   .0212679     0.24   0.812    -.0375723    .0477436
dummy_daybefore |   .0241893   .0229887     1.05   0.297    -.0219202    .0702987
 dummy_dayafter |   .0232021   .0235098     0.99   0.328    -.0239525    .0703567
           reSP |  -.0330249   .3019464    -0.11   0.913    -.6386527    .5726028
          reLib |  -.0649912   .1450598    -0.45   0.656    -.3559444    .2259621
        reTnote |   .2723224   .2016599     1.35   0.183    -.1321561     .676801
           reCR |   1.204326   .6174868     1.95   0.056    -.0341959    2.442847
          reBDI |   .0019859   .1428029     0.01   0.989    -.2844405    .2884122
      reCL2010X |  -.7000733   .3865445    -1.81   0.076    -1.475383    .0752367
          _cons |  -.0001331   .0028022    -0.05   0.962    -.0057536    .0054874
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010X
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.06
            Prob > F =    0.8119

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    1.11
            Prob > F =    0.2975

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.97
            Prob > F =    0.3282
(496 observations deleted)
(744 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =   1.81207

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.98
                                                      Prob > F      =   0.4672
Total (centered) SS     =  .0171134722                Centered R2   =   0.1403
Total (uncentered) SS   =  .0172123563                Uncentered R2 =   0.1453
Residual SS             =  .0147118812                Root MSE      =   .01666

---------------------------------------------------------------------------------
      reNG2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0055571   .0181029     0.31   0.760    -.0307527     .041867
dummy_daybefore |    .018161   .0195227     0.93   0.356    -.0209965    .0573185
 dummy_dayafter |   .0197419   .0200715     0.98   0.330    -.0205164    .0600002
           reSP |  -.0284469   .2613073    -0.11   0.914     -.552563    .4956692
          reLib |  -.0555185   .1235388    -0.45   0.655     -.303306     .192269
        reTnote |   .2385516   .1730385     1.38   0.174    -.1085198    .5856229
           reCR |    .901362   .5291344     1.70   0.094    -.1599471    1.962671
          reBDI |   .0234386   .1197434     0.20   0.846    -.2167362    .2636135
      reCL2010Z |  -.5075239   .3337928    -1.52   0.134    -1.177027    .1619798
          _cons |  -.0003112    .002282    -0.14   0.892    -.0048883     .004266
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010Z
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.09
            Prob > F =    0.7601

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.87
            Prob > F =    0.3565

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.97
            Prob > F =    0.3298
(267 observations deleted)
(212 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =   1.84314

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.98
                                                      Prob > F      =   0.4676
Total (centered) SS     =  .0154109571                Centered R2   =   0.1402
Total (uncentered) SS   =   .015520636                Uncentered R2 =   0.1463
Residual SS             =  .0132497168                Root MSE      =   .01581

---------------------------------------------------------------------------------
      reNG2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0059332   .0171511     0.35   0.731    -.0284674    .0403339
dummy_daybefore |   .0158678   .0184917     0.86   0.395    -.0212219    .0529574
 dummy_dayafter |   .0184986   .0190925     0.97   0.337    -.0197961    .0567934
           reSP |  -.0429465   .2497651    -0.17   0.864     -.543912    .4580189
          reLib |  -.0528739   .1172265    -0.45   0.654    -.2880004    .1822526
        reTnote |   .2312717   .1642407     1.41   0.165    -.0981535    .5606969
           reCR |   .8379112   .5006145     1.67   0.100    -.1661943    1.842017
          reBDI |   .0282699   .1128674     0.25   0.803    -.1981134    .2546532
      reCL2011F |  -.4574959   .3175623    -1.44   0.156    -1.094445    .1794533
          _cons |  -.0003852   .0021406    -0.18   0.858    -.0046788    .0039084
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011F
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.12
            Prob > F =    0.7308

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.74
            Prob > F =    0.3947

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.94
            Prob > F =    0.3370
(288 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.857699

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.92
                                                      Prob > F      =   0.5130
Total (centered) SS     =  .0151536949                Centered R2   =   0.1335
Total (uncentered) SS   =  .0152633975                Uncentered R2 =   0.1397
Residual SS             =  .0131310325                Root MSE      =   .01574

---------------------------------------------------------------------------------
      reNG2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0057399    .017079     0.34   0.738    -.0285163    .0399962
dummy_daybefore |   .0148722   .0183757     0.81   0.422    -.0219847    .0517291
 dummy_dayafter |   .0169723   .0189979     0.89   0.376    -.0211327    .0550772
           reSP |  -.0551235   .2492837    -0.22   0.826    -.5551233    .4448763
          reLib |  -.0504771   .1165558    -0.43   0.667    -.2842583    .1833042
        reTnote |     .23189   .1636759     1.42   0.162    -.0964023    .5601823
           reCR |   .7595173   .4950934     1.53   0.131    -.2335142    1.752549
          reBDI |   .0328608   .1119195     0.29   0.770    -.1916212    .2573429
      reCL2011G |  -.4039449    .315879    -1.28   0.207    -1.037518    .2296282
          _cons |  -.0003997   .0021208    -0.19   0.851    -.0046535    .0038541
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011G
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.11
            Prob > F =    0.7381

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.66
            Prob > F =    0.4219

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.80
            Prob > F =    0.3757
(307 observations deleted)
(255 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =   1.87542

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.90
                                                      Prob > F      =   0.5322
Total (centered) SS     =  .0149772832                Centered R2   =   0.1295
Total (uncentered) SS   =  .0150804897                Uncentered R2 =   0.1355
Residual SS             =  .0130371049                Root MSE      =   .01568

---------------------------------------------------------------------------------
      reNG2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0054428    .017012     0.32   0.750    -.0286789    .0395646
dummy_daybefore |   .0135955   .0183067     0.74   0.461    -.0231232    .0503141
 dummy_dayafter |   .0151431   .0189222     0.80   0.427    -.0228101    .0530963
           reSP |  -.0656494   .2495618    -0.26   0.794     -.566207    .4349082
          reLib |  -.0456241   .1164724    -0.39   0.697    -.2792381    .1879899
        reTnote |   .2349509   .1626934     1.44   0.155    -.0913708    .5612726
           reCR |   .6926658   .4890482     1.42   0.163    -.2882407    1.673572
          reBDI |   .0397089   .1117729     0.36   0.724    -.1844792     .263897
      reCL2011H |  -.3544723   .3138717    -1.13   0.264    -.9840192    .2750747
          _cons |  -.0003789   .0021009    -0.18   0.858    -.0045927    .0038349
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011H
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.10
            Prob > F =    0.7503

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.55
            Prob > F =    0.4610

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.64
            Prob > F =    0.4271
(330 observations deleted)
(275 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.886097

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.93
                                                      Prob > F      =   0.5101
Total (centered) SS     =  .0134150063                Centered R2   =   0.1311
Total (uncentered) SS   =  .0134784568                Uncentered R2 =   0.1352
Residual SS             =  .0116565608                Root MSE      =   .01483

---------------------------------------------------------------------------------
      reNG2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0065795   .0160549     0.41   0.684    -.0256224    .0387815
dummy_daybefore |   .0109832   .0173392     0.63   0.529    -.0237949    .0457612
 dummy_dayafter |   .0101471   .0178427     0.57   0.572    -.0256409    .0459352
           reSP |   -.077426   .2370653    -0.33   0.745    -.5529187    .3980668
          reLib |  -.0448325   .1103248    -0.41   0.686     -.266116    .1764509
        reTnote |   .2280668   .1533369     1.49   0.143    -.0794881    .5356216
           reCR |   .5510602   .4564437     1.21   0.233      -.36445     1.46657
          reBDI |   .0627864   .1059361     0.59   0.556    -.1496946    .2752674
      reCL2011J |  -.2480579    .293923    -0.84   0.402    -.8375927    .3414769
          _cons |  -.0001004   .0019114    -0.05   0.958    -.0039341    .0037333
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011J
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.17
            Prob > F =    0.6836

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.40
            Prob > F =    0.5292

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.32
            Prob > F =    0.5720
(350 observations deleted)
(295 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.875875

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.90
                                                      Prob > F      =   0.5354
Total (centered) SS     =  .0131015213                Centered R2   =   0.1279
Total (uncentered) SS   =  .0131549802                Uncentered R2 =   0.1314
Residual SS             =  .0114257802                Root MSE      =   .01468

---------------------------------------------------------------------------------
      reNG2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0067996   .0159117     0.43   0.671    -.0251153    .0387144
dummy_daybefore |   .0098718   .0171813     0.57   0.568    -.0245896    .0443331
 dummy_dayafter |   .0091096   .0176463     0.52   0.608    -.0262845    .0445037
           reSP |  -.0843464   .2346529    -0.36   0.721    -.5550004    .3863076
          reLib |   -.047722   .1091125    -0.44   0.664    -.2665739    .1711299
        reTnote |   .2239636   .1517168     1.48   0.146    -.0803417     .528269
           reCR |   .5248815   .4483802     1.17   0.247    -.3744553    1.424218
          reBDI |   .0686132   .1052421     0.65   0.517    -.1424758    .2797022
      reCL2011K |  -.2292025   .2902218    -0.79   0.433    -.8113138    .3529088
          _cons |   .0000232   .0018905     0.01   0.990    -.0037687     .003815
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011K
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.18
            Prob > F =    0.6709

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.33
            Prob > F =    0.5680

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.27
            Prob > F =    0.6078
(371 observations deleted)
(317 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.883673

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.87
                                                      Prob > F      =   0.5585
Total (centered) SS     =  .0127205147                Centered R2   =   0.1251
Total (uncentered) SS   =  .0127709856                Uncentered R2 =   0.1286
Residual SS             =  .0111289561                Root MSE      =   .01449

---------------------------------------------------------------------------------
      reNG2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0063467   .0157055     0.40   0.688    -.0251545    .0378479
dummy_daybefore |   .0089878   .0169548     0.53   0.598    -.0250192    .0429948
 dummy_dayafter |   .0081117   .0173868     0.47   0.643    -.0267618    .0429853
           reSP |  -.0942853   .2319716    -0.41   0.686    -.5595613    .3709908
          reLib |  -.0481401   .1077202    -0.45   0.657    -.2641994    .1679192
        reTnote |   .2186649   .1496692     1.46   0.150    -.0815335    .5188633
           reCR |   .4932791   .4390947     1.12   0.266    -.3874334    1.373992
          reBDI |   .0722154   .1038294     0.70   0.490    -.1360401    .2804709
      reCL2011M |    -.20136   .2849843    -0.71   0.483    -.7729662    .3702462
          _cons |   .0000649   .0018622     0.03   0.972    -.0036701       .0038
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011M
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.16
            Prob > F =    0.6878

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.28
            Prob > F =    0.5983

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.22
            Prob > F =    0.6427
(393 observations deleted)
(338 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.893513

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.87
                                                      Prob > F      =   0.5562
Total (centered) SS     =  .0123014299                Centered R2   =   0.1257
Total (uncentered) SS   =  .0123487575                Uncentered R2 =   0.1291
Residual SS             =   .010754577                Root MSE      =   .01424

---------------------------------------------------------------------------------
      reNG2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0066164   .0154323     0.43   0.670    -.0243368    .0375697
dummy_daybefore |    .008048   .0166526     0.48   0.631    -.0253529    .0414489
 dummy_dayafter |   .0075249   .0170798     0.44   0.661    -.0267329    .0417827
           reSP |  -.0954146    .228731    -0.42   0.678    -.5541908    .3633617
          reLib |  -.0505008   .1057121    -0.48   0.635    -.2625323    .1615308
        reTnote |    .213522   .1472627     1.45   0.153    -.0818497    .5088936
           reCR |   .4819315   .4272614     1.13   0.264    -.3750463    1.338909
          reBDI |   .0769177   .1019353     0.75   0.454    -.1275387     .281374
      reCL2011N |  -.1919134   .2781791    -0.69   0.493    -.7498701    .3660432
          _cons |   .0001263   .0018184     0.07   0.945     -.003521    .0037737
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011N
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.18
            Prob > F =    0.6698

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.23
            Prob > F =    0.6309

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.19
            Prob > F =    0.6613
(413 observations deleted)
(358 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.894719

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.85
                                                      Prob > F      =   0.5709
Total (centered) SS     =   .012044324                Centered R2   =   0.1234
Total (uncentered) SS   =    .01209365                Uncentered R2 =   0.1270
Residual SS             =  .0105576584                Root MSE      =   .01411

---------------------------------------------------------------------------------
      reNG2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0067534   .0152928     0.44   0.661    -.0239201    .0374269
dummy_daybefore |   .0075056   .0164949     0.46   0.651     -.025579    .0405902
 dummy_dayafter |   .0072667   .0169067     0.43   0.669    -.0266439    .0411773
           reSP |  -.0915943   .2267456    -0.40   0.688    -.5463882    .3631997
          reLib |  -.0509433   .1046329    -0.49   0.628    -.2608103    .1589238
        reTnote |   .2080846   .1459452     1.43   0.160    -.0846444    .5008135
           reCR |   .4725823   .4183278     1.13   0.264    -.3664769    1.311642
          reBDI |   .0783083   .1010441     0.77   0.442    -.1243604    .2809771
      reCL2011Q |  -.1908447   .2736026    -0.70   0.489     -.739622    .3579326
          _cons |   .0001051   .0017982     0.06   0.954    -.0035017    .0037119
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Q
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.20
            Prob > F =    0.6606

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.21
            Prob > F =    0.6509

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.18
            Prob > F =    0.6691
(436 observations deleted)
(381 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.897565

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.84
                                                      Prob > F      =   0.5809
Total (centered) SS     =  .0118925909                Centered R2   =   0.1220
Total (uncentered) SS   =  .0119426385                Uncentered R2 =   0.1257
Residual SS             =  .0104418181                Root MSE      =   .01404

---------------------------------------------------------------------------------
      reNG2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0067182   .0152109     0.44   0.661    -.0237911    .0372275
dummy_daybefore |   .0075437   .0163943     0.46   0.647    -.0253391    .0404265
 dummy_dayafter |   .0074571   .0168247     0.44   0.659     -.026289    .0412032
           reSP |  -.0918394   .2252994    -0.41   0.685    -.5437328    .3600539
          reLib |  -.0518354   .1040047    -0.50   0.620    -.2604425    .1567716
        reTnote |   .2051384   .1450915     1.41   0.163    -.0858784    .4961552
           reCR |   .4708141    .411578     1.14   0.258    -.3547068    1.296335
          reBDI |   .0770629   .1005046     0.77   0.447    -.1245238    .2786496
      reCL2011U |  -.1934182   .2704686    -0.72   0.478    -.7359095    .3490731
          _cons |   .0000959   .0017853     0.05   0.957     -.003485    .0036768
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011U
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.20
            Prob > F =    0.6605

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.21
            Prob > F =    0.6473

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.20
            Prob > F =    0.6594
(457 observations deleted)
(401 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.905571

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.84
                                                      Prob > F      =   0.5857
Total (centered) SS     =  .0113921555                Centered R2   =   0.1213
Total (uncentered) SS   =  .0114466009                Uncentered R2 =   0.1255
Residual SS             =  .0100099317                Root MSE      =   .01374

---------------------------------------------------------------------------------
      reNG2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0066022   .0148915     0.44   0.659    -.0232664    .0364707
dummy_daybefore |   .0068294   .0160436     0.43   0.672    -.0253499    .0390087
 dummy_dayafter |   .0073666   .0164489     0.45   0.656    -.0256258    .0403591
           reSP |  -.0863339   .2209393    -0.39   0.698    -.5294819    .3568141
          reLib |  -.0498822   .1017247    -0.49   0.626    -.2539161    .1541516
        reTnote |   .1965594   .1420064     1.38   0.172    -.0882693    .4813881
           reCR |   .4571781   .3982976     1.15   0.256    -.3417057    1.256062
          reBDI |   .0771021   .0983321     0.78   0.436    -.1201271    .2743312
      reCL2011V |  -.1848622   .2628226    -0.70   0.485    -.7120174    .3422931
          _cons |   .0000265   .0017462     0.02   0.988     -.003476    .0035289
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011V
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.20
            Prob > F =    0.6593

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.18
            Prob > F =    0.6721

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.20
            Prob > F =    0.6561
(478 observations deleted)
(423 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.904692

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.84
                                                      Prob > F      =   0.5854
Total (centered) SS     =  .0099277636                Centered R2   =   0.1218
Total (uncentered) SS   =  .0099839028                Uncentered R2 =   0.1268
Residual SS             =  .0087183849                Root MSE      =   .01283

---------------------------------------------------------------------------------
      reNG2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .006982   .0139037     0.50   0.618    -.0209052    .0348692
dummy_daybefore |   .0043783   .0149524     0.29   0.771    -.0256124     .034369
 dummy_dayafter |   .0060595   .0153277     0.40   0.694     -.024684    .0368029
           reSP |  -.0854071   .2048636    -0.42   0.678    -.4963114    .3254973
          reLib |  -.0468755   .0950022    -0.49   0.624    -.2374257    .1436747
        reTnote |   .1788435   .1323045     1.35   0.182    -.0865258    .4442127
           reCR |   .4356783   .3665492     1.19   0.240    -.2995263    1.170883
          reBDI |   .0862079   .0916109     0.94   0.351    -.0975403    .2699561
      reCL2011X |  -.1697842   .2422991    -0.70   0.487    -.6557746    .3162063
          _cons |   -.000032   .0016255    -0.02   0.984    -.0032923    .0032282
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011X
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.25
            Prob > F =    0.6176

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.09
            Prob > F =    0.7708

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.16
            Prob > F =    0.6942
(499 observations deleted)
(748 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,    63) =  1.910133

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.85
                                                      Prob > F      =   0.5734
Total (centered) SS     =  .0086982304                Centered R2   =   0.1251
Total (uncentered) SS   =  .0087597078                Uncentered R2 =   0.1313
Residual SS             =  .0076097734                Root MSE      =   .01198

---------------------------------------------------------------------------------
      reNG2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0069976   .0129896     0.54   0.592    -.0190562    .0330514
dummy_daybefore |   .0025071   .0139457     0.18   0.858    -.0254644    .0304785
 dummy_dayafter |   .0048428   .0143007     0.34   0.736    -.0238408    .0335264
           reSP |  -.0905313   .1913369    -0.47   0.638    -.4743046     .293242
          reLib |  -.0440303   .0886813    -0.50   0.622    -.2219024    .1338419
        reTnote |   .1657494    .123826     1.34   0.186    -.0826141    .4141129
           reCR |   .4148652   .3390599     1.22   0.227    -.2652028    1.094933
          reBDI |   .0895112   .0852896     1.05   0.299    -.0815581    .2605804
      reCL2011Z |  -.1477969   .2244834    -0.66   0.513    -.5980535    .3024598
          _cons |  -.0001033   .0015014    -0.07   0.945    -.0031148    .0029082
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Z
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.29
            Prob > F =    0.5923

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.03
            Prob > F =    0.8580

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.11
            Prob > F =    0.7362
(661 observations deleted)
(466 observations deleted)
(815 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.928683

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.89
                                                      Prob > F      =   0.5396
Total (centered) SS     =   .008100126                Centered R2   =   0.1302
Total (uncentered) SS   =  .0081675599                Uncentered R2 =   0.1374
Residual SS             =  .0070456785                Root MSE      =   .01153

---------------------------------------------------------------------------------
      reNG2012F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0071367   .0124914     0.57   0.570    -.0179179    .0321913
dummy_daybefore |   .0016542   .0133953     0.12   0.902    -.0252133    .0285217
 dummy_dayafter |    .004556   .0137211     0.33   0.741     -.022965    .0320771
           reSP |  -.0872793   .1851612    -0.47   0.639    -.4586656    .2841069
          reLib |  -.0467986   .0853318    -0.55   0.586    -.2179525    .1243553
        reTnote |   .1623113   .1193155     1.36   0.179    -.0770052    .4016278
           reCR |   .3999337   .3253129     1.23   0.224    -.2525613    1.052429
          reBDI |   .0936342   .0817239     1.15   0.257    -.0702832    .2575516
      reCL2012F |  -.1413624   .2152368    -0.66   0.514    -.5730727    .2903479
          _cons |  -.0001234   .0014455    -0.09   0.932    -.0030228    .0027759
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012F
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.33
            Prob > F =    0.5702

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.02
            Prob > F =    0.9022

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.11
            Prob > F =    0.7412
(485 observations deleted)
(486 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.953198

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.89
                                                      Prob > F      =   0.5381
Total (centered) SS     =  .0081074445                Centered R2   =   0.1300
Total (uncentered) SS   =  .0081833128                Uncentered R2 =   0.1381
Residual SS             =  .0070533103                Root MSE      =   .01154

---------------------------------------------------------------------------------
      reNG2012G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0068458   .0124948     0.55   0.586    -.0182156    .0319073
dummy_daybefore |   .0018382   .0133769     0.14   0.891    -.0249925    .0286689
 dummy_dayafter |   .0046787   .0137015     0.34   0.734     -.022803    .0321605
           reSP |   -.091355   .1859596    -0.49   0.625    -.4643427    .2816327
          reLib |   -.044087   .0854691    -0.52   0.608    -.2155163    .1273422
        reTnote |   .1604674   .1194951     1.34   0.185    -.0792095    .4001443
           reCR |   .4101606   .3244062     1.26   0.212    -.2405158    1.060837
          reBDI |   .0928041    .081403     1.14   0.259    -.0704697     .256078
      reCL2012G |  -.1445097   .2149127    -0.67   0.504      -.57557    .2865506
          _cons |  -.0002155    .001449    -0.15   0.882    -.0031218    .0026908
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012G
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.30
            Prob > F =    0.5861

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.02
            Prob > F =    0.8912

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.12
            Prob > F =    0.7341
(505 observations deleted)
(507 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.961387

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.90
                                                      Prob > F      =   0.5313
Total (centered) SS     =  .0084069464                Centered R2   =   0.1319
Total (uncentered) SS   =   .008477632                Uncentered R2 =   0.1391
Residual SS             =  .0072984315                Root MSE      =   .01173

---------------------------------------------------------------------------------
      reNG2012H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0076047   .0127233     0.60   0.553    -.0179151    .0331245
dummy_daybefore |   .0010597   .0135973     0.08   0.938    -.0262131    .0283324
 dummy_dayafter |   .0042794   .0139256     0.31   0.760    -.0236518    .0322106
           reSP |  -.0989188    .188662    -0.52   0.602    -.4773269    .2794893
          reLib |  -.0446028   .0870643    -0.51   0.611    -.2192316     .130026
        reTnote |   .1673963   .1215347     1.38   0.174    -.0763716    .4111641
           reCR |   .4054328   .3288171     1.23   0.223    -.2540908    1.064956
          reBDI |   .0984516   .0827129     1.19   0.239    -.0674495    .2643526
      reCL2012H |  -.1352162   .2183081    -0.62   0.538    -.5730868    .3026545
          _cons |  -.0001567   .0014777    -0.11   0.916    -.0031207    .0028072
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012H
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.36
            Prob > F =    0.5526

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.01
            Prob > F =    0.9382

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.09
            Prob > F =    0.7598
(527 observations deleted)
(527 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,    63) =  1.878493

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  9,    53) =     0.86
                                                      Prob > F      =   0.5649
Total (centered) SS     =  .0084849633                Centered R2   =   0.1294
Total (uncentered) SS   =  .0085383467                Uncentered R2 =   0.1349
Residual SS             =  .0073867656                Root MSE      =   .01181

---------------------------------------------------------------------------------
      reNG2012J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0070248   .0129337     0.54   0.589    -.0189169    .0329666
dummy_daybefore |  -.0017111   .0136923    -0.12   0.901    -.0291744    .0257522
 dummy_dayafter |   .0023606   .0140608     0.17   0.867    -.0258418    .0305631
           reSP |  -.1265001   .1825191    -0.69   0.491     -.492587    .2395868
          reLib |  -.0480667   .0873991    -0.55   0.585    -.2233671    .1272337
        reTnote |   .1700682   .1220209     1.39   0.169    -.0746747     .414811
           reCR |   .4231377   .3282584     1.29   0.203    -.2352652    1.081541
          reBDI |   .1079909   .0845393     1.28   0.207    -.0615734    .2775552
      reCL2012J |  -.1320112   .2205601    -0.60   0.552    -.5743987    .3103763
          _cons |   .0001023   .0015232     0.07   0.947    -.0029529    .0031575
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012J
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    53) =    0.30
            Prob > F =    0.5893

 ( 1)  dummy_daybefore = 0

       F(  1,    53) =    0.02
            Prob > F =    0.9010

 ( 1)  dummy_dayafter = 0

       F(  1,    53) =    0.03
            Prob > F =    0.8673
(note: file C:/yourdirectory/temp_base.dta not found)
file C:/yourdirectory/temp_base.dta saved
(752 observations deleted)
file C:/yourdirectory/output/graham_timeseries_NG_2mo.dta saved
(752 observations deleted)
file C:/yourdirectory/output/graham_voltimeseries_NG_2mo.dta saved
(752 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010N |     60    0.98132      1.015     0.033    0.48701
resid_~2010Q |     60    0.98636      0.742    -0.645    0.74038
resid_~2010U |     60    0.98395      0.873    -0.294    0.61549
resid_~2010V |     60    0.98055      1.057     0.120    0.45209
resid_~2010X |     60    0.97771      1.212     0.414    0.33956
resid_~2010Z |     60    0.97453      1.384     0.701    0.24160
resid_~2011F |     60    0.97249      1.495     0.867    0.19288
resid_~2011G |     60    0.97125      1.563     0.962    0.16799
resid_~2011H |     60    0.97401      1.413     0.745    0.22814
resid_~2011J |     60    0.98006      1.084     0.174    0.43105
resid_~2011K |     60    0.98031      1.070     0.146    0.44182
resid_~2011M |     60    0.98007      1.083     0.172    0.43168
resid_~2011N |     60    0.98061      1.054     0.113    0.45485
resid_~2011Q |     60    0.98054      1.058     0.121    0.45184
resid_~2011U |     60    0.98092      1.037     0.078    0.46884
resid_~2011V |     60    0.98224      0.965    -0.076    0.53047
resid_~2011X |     60    0.98561      0.782    -0.530    0.70200
resid_~2011Z |     60    0.98788      0.659    -0.899    0.81566
resid_~2012F |     60    0.98902      0.597    -1.112    0.86684
resid_~2012G |     60    0.99002      0.542    -1.319    0.90637
resid_~2012H |     60    0.99031      0.527    -1.381    0.91643
resid_~2012J |     60    0.98381      0.880    -0.275    0.60831
Jarque-Bera normality test:  .0575 Chi(2)  .9716
Jarque-Bera test for Ho: normality: (resid_NG_2010N)
Jarque-Bera normality test:  .1662 Chi(2)  .9203
Jarque-Bera test for Ho: normality: (resid_NG_2010Q)
Jarque-Bera normality test:  .4441 Chi(2)  .8009
Jarque-Bera test for Ho: normality: (resid_NG_2010U)
Jarque-Bera normality test:   .563 Chi(2)  .7547
Jarque-Bera test for Ho: normality: (resid_NG_2010V)
Jarque-Bera normality test:  .6663 Chi(2)  .7167
Jarque-Bera test for Ho: normality: (resid_NG_2010X)
Jarque-Bera normality test:  .6264 Chi(2)  .7311
Jarque-Bera test for Ho: normality: (resid_NG_2010Z)
Jarque-Bera normality test:  .6319 Chi(2)  .7291
Jarque-Bera test for Ho: normality: (resid_NG_2011F)
Jarque-Bera normality test:  .5927 Chi(2)  .7435
Jarque-Bera test for Ho: normality: (resid_NG_2011G)
Jarque-Bera normality test:  .5328 Chi(2)  .7661
Jarque-Bera test for Ho: normality: (resid_NG_2011H)
Jarque-Bera normality test:  .5361 Chi(2)  .7649
Jarque-Bera test for Ho: normality: (resid_NG_2011J)
Jarque-Bera normality test:  .5781 Chi(2)   .749
Jarque-Bera test for Ho: normality: (resid_NG_2011K)
Jarque-Bera normality test:  .5791 Chi(2)  .7486
Jarque-Bera test for Ho: normality: (resid_NG_2011M)
Jarque-Bera normality test:  .5661 Chi(2)  .7535
Jarque-Bera test for Ho: normality: (resid_NG_2011N)
Jarque-Bera normality test:  .5778 Chi(2)  .7491
Jarque-Bera test for Ho: normality: (resid_NG_2011Q)
Jarque-Bera normality test:  .5545 Chi(2)  .7579
Jarque-Bera test for Ho: normality: (resid_NG_2011U)
Jarque-Bera normality test:  .5627 Chi(2)  .7548
Jarque-Bera test for Ho: normality: (resid_NG_2011V)
Jarque-Bera normality test:  .6074 Chi(2)  .7381
Jarque-Bera test for Ho: normality: (resid_NG_2011X)
Jarque-Bera normality test:  .5641 Chi(2)  .7542
Jarque-Bera test for Ho: normality: (resid_NG_2011Z)
Jarque-Bera normality test:   .574 Chi(2)  .7505
Jarque-Bera test for Ho: normality: (resid_NG_2012F)
Jarque-Bera normality test:   .525 Chi(2)  .7691
Jarque-Bera test for Ho: normality: (resid_NG_2012G)
Jarque-Bera normality test:  .5625 Chi(2)  .7548
Jarque-Bera test for Ho: normality: (resid_NG_2012H)
Jarque-Bera normality test:  .8574 Chi(2)  .6513
Jarque-Bera test for Ho: normality: (resid_NG_2012J)
file C:/yourdirectory/output/graham_resids_NG_base_2mo.dta saved
(752 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_NG_base_2mo.dta saved
(814 observations deleted)
(note: j = 201007 201008 201009 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110
>  201111 201112 201201 201202 201203 201204)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      22
Number of variables                 199   ->      11
j variable (22 values)                    ->   contract
xij variables:
b_NG_base_Day201007 b_NG_base_Day201008 ... b_NG_base_Day201204->b_NG_base_Day
se_NG_base_Day201007 se_NG_base_Day201008 ... se_NG_base_Day201204->se_NG_base_Day
p_NG_base_Day201007 p_NG_base_Day201008 ... p_NG_base_Day201204->p_NG_base_Day
b_NG_base_Before201007 b_NG_base_Before201008 ... b_NG_base_Before201204->b_NG_base_Before
se_NG_base_Before201007 se_NG_base_Before201008 ... se_NG_base_Before201204->se_NG_base_Before
p_NG_base_Before201007 p_NG_base_Before201008 ... p_NG_base_Before201204->p_NG_base_Before
b_NG_base_After201007 b_NG_base_After201008 ... b_NG_base_After201204->b_NG_base_After
se_NG_base_After201007 se_NG_base_After201008 ... se_NG_base_After201204->se_NG_base_After
p_NG_base_After201007 p_NG_base_After201008 ... p_NG_base_After201204->p_NG_base_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_NG_base.dta not found)
file C:/yourdirectory/output/coeffs_NG_base.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(0 real changes made)
        time variable:  counter, 1 to 1507
                delta:  1 unit
(1506 missing values generated)
(1506 real changes made)
(63 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.38
                                                      Prob > F      =   0.7702
Total (centered) SS     =  .0450789315                Centered R2   =   0.0192
Total (uncentered) SS   =  .0450878207                Uncentered R2 =   0.0194
Residual SS             =  .0442120735                Root MSE      =   .02737

---------------------------------------------------------------------------------
      reNG2010N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .003944   .0277368     0.14   0.887    -.0515571    .0594452
dummy_daybefore |   .0288155   .0276986     1.04   0.302    -.0266092    .0842403
 dummy_dayafter |  -.0057082   .0276986    -0.21   0.837    -.0611329    .0497166
          _cons |   -.000805   .0029211    -0.28   0.784    -.0066501    .0050401
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1444 missing values generated)
(1444 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.02
            Prob > F =    0.8874

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.08
            Prob > F =    0.3024

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.04
            Prob > F =    0.8374
(42 observations deleted)
(1486 real changes made)
        time variable:  counter, 1 to 1486
                delta:  1 unit
(1485 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.35
                                                      Prob > F      =   0.7921
Total (centered) SS     =  .0418392154                Centered R2   =   0.0178
Total (uncentered) SS   =  .0418483521                Uncentered R2 =   0.0180
Residual SS             =  .0410960888                Root MSE      =   .02639

---------------------------------------------------------------------------------
      reNG2010Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0043109   .0267433     0.16   0.872    -.0492023     .057824
dummy_daybefore |   .0266655   .0267052     1.00   0.322    -.0267715    .0801024
 dummy_dayafter |  -.0049263   .0267052    -0.18   0.854    -.0583632    .0485106
          _cons |  -.0007943   .0027812    -0.29   0.776    -.0063594    .0047708
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1423 missing values generated)
(1423 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.03
            Prob > F =    0.8725

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.00
            Prob > F =    0.3221

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.03
            Prob > F =    0.8543
(65 observations deleted)
(1464 real changes made)
        time variable:  counter, 1 to 1464
                delta:  1 unit
(1463 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.36
                                                      Prob > F      =   0.7841
Total (centered) SS     =  .0391373114                Centered R2   =   0.0183
Total (uncentered) SS   =  .0391433015                Uncentered R2 =   0.0184
Residual SS             =  .0384220937                Root MSE      =   .02552

---------------------------------------------------------------------------------
      reNG2010U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0039815   .0258507     0.15   0.878    -.0477456    .0557087
dummy_daybefore |   .0263012   .0258172     1.02   0.312    -.0253589    .0779614
 dummy_dayafter |  -.0042827   .0258172    -0.17   0.869    -.0559429    .0473774
          _cons |  -.0007211   .0026903    -0.27   0.790    -.0061043    .0046622
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1401 missing values generated)
(1401 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.02
            Prob > F =    0.8781

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.04
            Prob > F =    0.3125

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.03
            Prob > F =    0.8688
(85 observations deleted)
(1443 real changes made)
        time variable:  counter, 1 to 1443
                delta:  1 unit
(1442 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.37
                                                      Prob > F      =   0.7770
Total (centered) SS     =  .0357064077                Centered R2   =   0.0187
Total (uncentered) SS   =  .0357137522                Uncentered R2 =   0.0189
Residual SS             =  .0350385954                Root MSE      =   .02437

---------------------------------------------------------------------------------
      reNG2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0032798   .0246855     0.13   0.895    -.0461159    .0526755
dummy_daybefore |    .025483   .0246579     1.03   0.306    -.0238573    .0748234
 dummy_dayafter |   -.004157   .0246579    -0.17   0.867    -.0534974    .0451834
          _cons |   -.000732   .0025246    -0.29   0.773    -.0057837    .0043197
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1380 missing values generated)
(1380 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.02
            Prob > F =    0.8948

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.07
            Prob > F =    0.3056

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.03
            Prob > F =    0.8667
(106 observations deleted)
(1422 real changes made)
        time variable:  counter, 1 to 1422
                delta:  1 unit
(1421 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.44
                                                      Prob > F      =   0.7274
Total (centered) SS     =  .0253820445                Centered R2   =   0.0220
Total (uncentered) SS   =  .0253906991                Uncentered R2 =   0.0224
Residual SS             =  .0248228904                Root MSE      =   .02051

---------------------------------------------------------------------------------
      reNG2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0025555   .0207811     0.12   0.903    -.0390274    .0441383
dummy_daybefore |   .0237297   .0207648     1.14   0.258    -.0178205    .0652799
 dummy_dayafter |  -.0004008   .0207648    -0.02   0.985     -.041951    .0411495
          _cons |  -.0007815    .001991    -0.39   0.696    -.0047654    .0032024
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1359 missing values generated)
(1359 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.02
            Prob > F =    0.9025

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.31
            Prob > F =    0.2577

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9847
(125 observations deleted)
(1402 real changes made)
        time variable:  counter, 1 to 1402
                delta:  1 unit
(1401 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.44
                                                      Prob > F      =   0.7256
Total (centered) SS     =  .0185056502                Centered R2   =   0.0221
Total (uncentered) SS   =  .0185199852                Uncentered R2 =   0.0229
Residual SS             =  .0180963191                Root MSE      =   .01751

---------------------------------------------------------------------------------
      reNG2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0019589   .0177499     0.11   0.912    -.0335587    .0374764
dummy_daybefore |   .0202719   .0177422     1.14   0.258    -.0152303     .055774
 dummy_dayafter |   .0019577   .0177422     0.11   0.913    -.0335445    .0374598
          _cons |   -.000861   .0015653    -0.55   0.584    -.0039931    .0022712
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1339 missing values generated)
(1339 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9125

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.31
            Prob > F =    0.2578

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9125
(378 observations deleted)
(1151 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.41
                                                      Prob > F      =   0.7432
Total (centered) SS     =  .0167489649                Centered R2   =   0.0209
Total (uncentered) SS   =  .0167673923                Uncentered R2 =   0.0219
Residual SS             =  .0163997234                Root MSE      =   .01667

---------------------------------------------------------------------------------
      reNG2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0021354    .016893     0.13   0.900    -.0316675    .0359383
dummy_daybefore |   .0186838   .0168901     1.11   0.273    -.0151133    .0524809
 dummy_dayafter |   .0019579   .0168901     0.12   0.908    -.0318392     .035755
          _cons |  -.0009024   .0014408    -0.63   0.534    -.0037854    .0019806
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.02
            Prob > F =    0.8998

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.22
            Prob > F =    0.2731

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9081
(148 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.41
                                                      Prob > F      =   0.7467
Total (centered) SS     =    .01642848                Centered R2   =   0.0206
Total (uncentered) SS   =  .0164477531                Uncentered R2 =   0.0218
Residual SS             =   .016089952                Root MSE      =   .01651

---------------------------------------------------------------------------------
      reNG2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0017888   .0167338     0.11   0.915    -.0316954     .035273
dummy_daybefore |   .0184342   .0167306     1.10   0.275    -.0150436    .0519121
 dummy_dayafter |    .001788   .0167306     0.11   0.915    -.0316898    .0352658
          _cons |  -.0009025   .0014199    -0.64   0.528    -.0037438    .0019388
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9152

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.21
            Prob > F =    0.2750

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9153
(167 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.39
                                                      Prob > F      =   0.7603
Total (centered) SS     =  .0162171997                Centered R2   =   0.0197
Total (uncentered) SS   =  .0162349821                Uncentered R2 =   0.0207
Residual SS             =  .0158982174                Root MSE      =   .01642

---------------------------------------------------------------------------------
      reNG2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0012159   .0166349     0.07   0.942    -.0320706    .0345023
dummy_daybefore |   .0179618   .0166329     1.08   0.285    -.0153205    .0512442
 dummy_dayafter |   .0012156   .0166329     0.07   0.942    -.0320667     .034498
          _cons |   -.000855   .0013986    -0.61   0.543    -.0036535    .0019436
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9420

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.17
            Prob > F =    0.2846

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9420
(190 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.40
                                                      Prob > F      =   0.7504
Total (centered) SS     =  .0145760704                Centered R2   =   0.0204
Total (uncentered) SS   =  .0145800412                Uncentered R2 =   0.0206
Residual SS             =  .0142790385                Root MSE      =   .01556

---------------------------------------------------------------------------------
      reNG2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0011024   .0157756     0.07   0.945    -.0304646    .0326693
dummy_daybefore |    .017351   .0157734     1.10   0.276    -.0142116    .0489135
 dummy_dayafter |  -.0002084   .0157734    -0.01   0.990     -.031771    .0313541
          _cons |  -.0005407   .0012722    -0.42   0.672    -.0030864     .002005
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9445

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.21
            Prob > F =    0.2758

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9895
(210 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.38
                                                      Prob > F      =   0.7668
Total (centered) SS     =  .0142183322                Centered R2   =   0.0192
Total (uncentered) SS   =  .0142203551                Uncentered R2 =   0.0194
Residual SS             =  .0139447461                Root MSE      =   .01537

---------------------------------------------------------------------------------
      reNG2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0010152   .0155925     0.07   0.948    -.0301853    .0322157
dummy_daybefore |   .0166512   .0155889     1.07   0.290    -.0145422    .0478446
 dummy_dayafter |  -.0002921   .0155889    -0.02   0.985    -.0314855    .0309013
          _cons |   -.000455   .0012687    -0.36   0.721    -.0029937    .0020837
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9483

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.14
            Prob > F =    0.2898

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9851
(231 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.37
                                                      Prob > F      =   0.7764
Total (centered) SS     =  .0137726002                Centered R2   =   0.0185
Total (uncentered) SS   =  .0137745245                Uncentered R2 =   0.0187
Residual SS             =  .0135172426                Root MSE      =   .01514

---------------------------------------------------------------------------------
      reNG2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0004323   .0153511     0.03   0.978    -.0302851    .0311497
dummy_daybefore |   .0161014   .0153487     1.05   0.298    -.0146113    .0468141
 dummy_dayafter |  -.0003082   .0153487    -0.02   0.984    -.0310209    .0304045
          _cons |  -.0004323   .0012573    -0.34   0.732    -.0029483    .0020836
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9776

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.10
            Prob > F =    0.2984

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9840
(253 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.35
                                                      Prob > F      =   0.7858
Total (centered) SS     =  .0132884535                Centered R2   =   0.0179
Total (uncentered) SS   =  .0132904031                Uncentered R2 =   0.0180
Residual SS             =   .013050755                Root MSE      =   .01487

---------------------------------------------------------------------------------
      reNG2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0004243   .0150825     0.03   0.978    -.0297556    .0306043
dummy_daybefore |   .0155342   .0150817     1.03   0.307    -.0146443    .0457127
 dummy_dayafter |  -.0003074   .0150817    -0.02   0.984    -.0304859    .0298711
          _cons |  -.0004243   .0012296    -0.35   0.731    -.0028848    .0020362
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9776

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.06
            Prob > F =    0.3072

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9838
(273 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.34
                                                      Prob > F      =   0.7963
Total (centered) SS     =  .0130041912                Centered R2   =   0.0172
Total (uncentered) SS   =  .0130069474                Uncentered R2 =   0.0174
Residual SS             =  .0127809407                Root MSE      =   .01472

---------------------------------------------------------------------------------
      reNG2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0004509   .0149255     0.03   0.976    -.0294148    .0303167
dummy_daybefore |   .0150551   .0149246     1.01   0.317    -.0148089    .0449191
 dummy_dayafter |  -.0002743   .0149246    -0.02   0.985    -.0301383    .0295897
          _cons |  -.0004509   .0012207    -0.37   0.713    -.0028935    .0019916
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9760

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.02
            Prob > F =    0.3172

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9854
(296 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.34
                                                      Prob > F      =   0.7958
Total (centered) SS     =   .012842138                Centered R2   =   0.0172
Total (uncentered) SS   =  .0128451745                Uncentered R2 =   0.0175
Residual SS             =  .0126210245                Root MSE      =   .01463

---------------------------------------------------------------------------------
      reNG2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0004636   .0148318     0.03   0.975    -.0292147    .0301419
dummy_daybefore |   .0149881   .0148302     1.01   0.316    -.0146871    .0446634
 dummy_dayafter |  -.0000773   .0148302    -0.01   0.996    -.0297525     .029598
          _cons |  -.0004636   .0012108    -0.38   0.703    -.0028864    .0019592
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9752

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    1.02
            Prob > F =    0.3163

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9959
(317 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.32
                                                      Prob > F      =   0.8111
Total (centered) SS     =  .0123234158                Centered R2   =   0.0162
Total (uncentered) SS   =  .0123276232                Uncentered R2 =   0.0165
Residual SS             =  .0121242775                Root MSE      =   .01434

---------------------------------------------------------------------------------
      reNG2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0003142   .0145362     0.02   0.983    -.0287726    .0294011
dummy_daybefore |   .0142282   .0145354     0.98   0.332     -.014857    .0433134
 dummy_dayafter |   .0001369   .0145354     0.01   0.993    -.0289483    .0292221
          _cons |  -.0004914   .0011912    -0.41   0.681    -.0028749    .0018921
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9828

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.96
            Prob > F =    0.3316

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9925
(338 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.27
                                                      Prob > F      =   0.8437
Total (centered) SS     =   .010736431                Centered R2   =   0.0139
Total (uncentered) SS   =  .0107431632                Uncentered R2 =   0.0145
Residual SS             =  .0105872757                Root MSE      =    .0134

---------------------------------------------------------------------------------
      reNG2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0001887   .0135842     0.01   0.989    -.0269932    .0273706
dummy_daybefore |   .0123143   .0135837     0.91   0.368    -.0148667    .0394952
 dummy_dayafter |   .0001886   .0135837     0.01   0.989    -.0269924    .0273695
          _cons |  -.0005283    .001124    -0.47   0.640    -.0027774    .0017207
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9890

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.82
            Prob > F =    0.3683

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9890
(359 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1151
                delta:  1 unit
(1150 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.23
                                                      Prob > F      =   0.8717
Total (centered) SS     =  .0094066553                Centered R2   =   0.0119
Total (uncentered) SS   =  .0094175877                Uncentered R2 =   0.0130
Residual SS             =  .0092946908                Root MSE      =   .01255

---------------------------------------------------------------------------------
      reNG2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0001011   .0127298     0.01   0.994    -.0253712    .0255733
dummy_daybefore |   .0106663    .012728     0.84   0.405    -.0148024     .036135
 dummy_dayafter |   -.000061    .012728    -0.00   0.996    -.0255297    .0254077
          _cons |  -.0005865   .0010645    -0.55   0.584    -.0027166    .0015435
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1088 missing values generated)
(1088 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9937

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.70
            Prob > F =    0.4054

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9962
(631 observations deleted)
(900 real changes made)
        time variable:  counter, 1 to 900
                delta:  1 unit
(899 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.22
                                                      Prob > F      =   0.8790
Total (centered) SS     =  .0087869134                Centered R2   =   0.0114
Total (uncentered) SS   =  .0088010909                Uncentered R2 =   0.0130
Residual SS             =  .0086868865                Root MSE      =   .01213

---------------------------------------------------------------------------------
      reNG2012F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0000103   .0123046     0.00   0.999    -.0246112    .0246317
dummy_daybefore |   .0100831   .0123036     0.82   0.416    -.0145363    .0347026
 dummy_dayafter |   .0001668   .0123036     0.01   0.989    -.0244526    .0247862
          _cons |  -.0006372   .0010366    -0.61   0.541    -.0027114    .0014369
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(837 missing values generated)
(837 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9993

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.67
            Prob > F =    0.4158

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9892
(400 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 900
                delta:  1 unit
(899 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.23
                                                      Prob > F      =   0.8739
Total (centered) SS     =  .0087926219                Centered R2   =   0.0118
Total (uncentered) SS   =  .0088111292                Uncentered R2 =   0.0138
Residual SS             =  .0086893053                Root MSE      =   .01214

---------------------------------------------------------------------------------
      reNG2012G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |  -.0002452   .0123008    -0.02   0.984     -.024859    .0243686
dummy_daybefore |   .0102403    .012302     0.83   0.409    -.0143761    .0348566
 dummy_dayafter |   .0002292    .012302     0.02   0.985    -.0243871    .0248456
          _cons |  -.0007043   .0010369    -0.68   0.500    -.0027791    .0013705
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(837 missing values generated)
(837 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9842

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.69
            Prob > F =    0.4085

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9852
(420 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 900
                delta:  1 unit
(899 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.21
                                                      Prob > F      =   0.8881
Total (centered) SS     =  .0091131323                Centered R2   =   0.0107
Total (uncentered) SS   =  .0091284316                Uncentered R2 =   0.0124
Residual SS             =  .0090152202                Root MSE      =   .01236

---------------------------------------------------------------------------------
      reNG2012H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0001681   .0125291     0.01   0.989    -.0249026    .0252387
dummy_daybefore |   .0099772   .0125291     0.80   0.429    -.0150935    .0350479
 dummy_dayafter |   .0001679   .0125291     0.01   0.989    -.0249028    .0252386
          _cons |  -.0006565   .0010679    -0.61   0.541    -.0027933    .0014803
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(837 missing values generated)
(837 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9893

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.63
            Prob > F =    0.4290

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.00
            Prob > F =    0.9894
(442 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 900
                delta:  1 unit
(899 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.14
                                                      Prob > F      =   0.9367
Total (centered) SS     =  .0091417116                Centered R2   =   0.0070
Total (uncentered) SS   =   .009151435                Uncentered R2 =   0.0080
Residual SS             =  .0090781016                Root MSE      =    .0124

---------------------------------------------------------------------------------
      reNG2012J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |  -.0009193   .0125795    -0.07   0.942    -.0260909    .0242523
dummy_daybefore |   .0079057   .0125695     0.63   0.532    -.0172458    .0330572
 dummy_dayafter |  -.0009213   .0125695    -0.07   0.942    -.0260728    .0242303
          _cons |  -.0004891   .0011525    -0.42   0.673    -.0027953     .001817
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(837 missing values generated)
(837 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9420

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.40
            Prob > F =    0.5318

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.01
            Prob > F =    0.9418
(note: file C:/yourdirectory/temp_nocovar.dta not found)
file C:/yourdirectory/temp_nocovar.dta saved
(837 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010N |     60    0.98096      1.035     0.075    0.47027
resid_~2010Q |     60    0.98044      1.063     0.132    0.44751
resid_~2010U |     60    0.97847      1.170     0.339    0.36737
resid_~2010V |     60    0.97568      1.322     0.602    0.27360
resid_~2010X |     60    0.97620      1.294     0.555    0.28948
resid_~2010Z |     60    0.98046      1.062     0.130    0.44832
resid_~2011F |     60    0.98017      1.078     0.162    0.43567
resid_~2011G |     60    0.98008      1.083     0.172    0.43187
resid_~2011H |     60    0.98109      1.028     0.059    0.47631
resid_~2011J |     60    0.98480      0.826    -0.411    0.65965
resid_~2011K |     60    0.98445      0.845    -0.362    0.64142
resid_~2011M |     60    0.98359      0.892    -0.246    0.59725
resid_~2011N |     60    0.98310      0.919    -0.183    0.57259
resid_~2011Q |     60    0.98325      0.910    -0.203    0.58031
resid_~2011U |     60    0.98350      0.897    -0.234    0.59265
resid_~2011V |     60    0.98338      0.903    -0.220    0.58689
resid_~2011X |     60    0.98156      1.003     0.006    0.49779
resid_~2011Z |     60    0.97943      1.118     0.241    0.40475
resid_~2012F |     60    0.97833      1.178     0.353    0.36206
resid_~2012G |     60    0.97823      1.183     0.363    0.35846
resid_~2012H |     60    0.97642      1.282     0.535    0.29629
resid_~2012J |     60    0.96353      1.983     1.475    0.07007
Jarque-Bera normality test:  .6849 Chi(2)    .71
Jarque-Bera test for Ho: normality: (resid_NG_2010N)
Jarque-Bera normality test:  .6209 Chi(2)  .7331
Jarque-Bera test for Ho: normality: (resid_NG_2010Q)
Jarque-Bera normality test:  .7673 Chi(2)  .6814
Jarque-Bera test for Ho: normality: (resid_NG_2010U)
Jarque-Bera normality test:  .8171 Chi(2)  .6646
Jarque-Bera test for Ho: normality: (resid_NG_2010V)
Jarque-Bera normality test:  .5826 Chi(2)  .7473
Jarque-Bera test for Ho: normality: (resid_NG_2010X)
Jarque-Bera normality test:  .4749 Chi(2)  .7886
Jarque-Bera test for Ho: normality: (resid_NG_2010Z)
Jarque-Bera normality test:  .4581 Chi(2)  .7953
Jarque-Bera test for Ho: normality: (resid_NG_2011F)
Jarque-Bera normality test:  .4686 Chi(2)  .7911
Jarque-Bera test for Ho: normality: (resid_NG_2011G)
Jarque-Bera normality test:  .5846 Chi(2)  .7466
Jarque-Bera test for Ho: normality: (resid_NG_2011H)
Jarque-Bera normality test:  .9432 Chi(2)   .624
Jarque-Bera test for Ho: normality: (resid_NG_2011J)
Jarque-Bera normality test:  1.105 Chi(2)  .5756
Jarque-Bera test for Ho: normality: (resid_NG_2011K)
Jarque-Bera normality test:  1.208 Chi(2)  .5466
Jarque-Bera test for Ho: normality: (resid_NG_2011M)
Jarque-Bera normality test:  1.307 Chi(2)  .5201
Jarque-Bera test for Ho: normality: (resid_NG_2011N)
Jarque-Bera normality test:  1.323 Chi(2)  .5161
Jarque-Bera test for Ho: normality: (resid_NG_2011Q)
Jarque-Bera normality test:  1.305 Chi(2)  .5208
Jarque-Bera test for Ho: normality: (resid_NG_2011U)
Jarque-Bera normality test:   1.38 Chi(2)  .5017
Jarque-Bera test for Ho: normality: (resid_NG_2011V)
Jarque-Bera normality test:  1.734 Chi(2)  .4201
Jarque-Bera test for Ho: normality: (resid_NG_2011X)
Jarque-Bera normality test:  1.925 Chi(2)   .382
Jarque-Bera test for Ho: normality: (resid_NG_2011Z)
Jarque-Bera normality test:  2.015 Chi(2)  .3651
Jarque-Bera test for Ho: normality: (resid_NG_2012F)
Jarque-Bera normality test:   1.98 Chi(2)  .3716
Jarque-Bera test for Ho: normality: (resid_NG_2012G)
Jarque-Bera normality test:  2.125 Chi(2)  .3456
Jarque-Bera test for Ho: normality: (resid_NG_2012H)
Jarque-Bera normality test:  2.771 Chi(2)  .2502
Jarque-Bera test for Ho: normality: (resid_NG_2012J)
file C:/yourdirectory/output/graham_resids_NG_nocovar_2mo.dta saved
(837 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_NG_nocovar_2mo.dta saved
(899 observations deleted)
(note: j = 201007 201008 201009 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110
>  201111 201112 201201 201202 201203 201204)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      22
Number of variables                 199   ->      11
j variable (22 values)                    ->   contract
xij variables:
b_NG_nocovar_Day201007 b_NG_nocovar_Day201008 ... b_NG_nocovar_Day201204->b_NG_nocovar_Day
se_NG_nocovar_Day201007 se_NG_nocovar_Day201008 ... se_NG_nocovar_Day201204->se_NG_nocovar_Day
p_NG_nocovar_Day201007 p_NG_nocovar_Day201008 ... p_NG_nocovar_Day201204->p_NG_nocovar_Day
b_NG_nocovar_Before201007 b_NG_nocovar_Before201008 ... b_NG_nocovar_Before201204->b_NG_nocovar_Before
se_NG_nocovar_Before201007 se_NG_nocovar_Before201008 ... se_NG_nocovar_Before201204->se_NG_nocovar_Before
p_NG_nocovar_Before201007 p_NG_nocovar_Before201008 ... p_NG_nocovar_Before201204->p_NG_nocovar_Before
b_NG_nocovar_After201007 b_NG_nocovar_After201008 ... b_NG_nocovar_After201204->b_NG_nocovar_After
se_NG_nocovar_After201007 se_NG_nocovar_After201008 ... se_NG_nocovar_After201204->se_NG_nocovar_After
p_NG_nocovar_After201007 p_NG_nocovar_After201008 ... p_NG_nocovar_After201204->p_NG_nocovar_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_NG_nocovar.dta not found)
file C:/yourdirectory/output/coeffs_NG_nocovar.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(12461 observations deleted)
(5232 observations deleted)
(11146 observations deleted)
(848 observations deleted)
(4727 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(1010 real changes made)
(63 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  147.03957
                                                                 (not concave)
Gradient vector (length = 344.6021):
          reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         6.66e-07        -7.13e-07        -9.78e-07         .2288171          .639267         -.162995        -.1484796

          reNG2010N:       reNG2010N:       reNG2010N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010N            _cons         __000004         __000005            _cons            _cons
r1         1.405887        -.2173329         1.895816         4.649197         .1891623         344.5618         .0922447
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  147.03957
                                                                 (not concave)
Gradient vector (length = 344.6021):
          reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:       reNG2010N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -8.10e-06         7.59e-06         4.99e-06          .228817         .6392671        -.1629951        -.1484797

          reNG2010N:       reNG2010N:       reNG2010N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010N            _cons         __000004         __000005            _cons            _cons
r1         1.405889        -.2173328         1.895822         4.649197         .1891623         344.5618         .0922447
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     16.03
Log pseudolikelihood =  147.0396                   Prob > chi2     =    0.0248

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010N |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010N       |
 dummy_eventday |   -.001597   .0185138    -0.09   0.931    -.0378834    .0346895
dummy_daybefore |   .0355648   .0200917     1.77   0.077    -.0038143    .0749439
 dummy_dayafter |   .0261929   .0181833     1.44   0.150    -.0094457    .0618315
           reSP |  -.1411503   .4149509    -0.34   0.734    -.9544392    .6721386
          reLib |  -.1572118   .1533084    -1.03   0.305    -.4576907    .1432671
        reTnote |   .4277796    .278606     1.54   0.125    -.1182781    .9738373
           reCR |   2.063296   .8648003     2.39   0.017      .368319    3.758274
          reBDI |    -.04589   .2497569    -0.18   0.854    -.5354045    .4436245
      reCL2010N |  -1.216379   .5427358    -2.24   0.025    -2.280122   -.1526362
          _cons |    .000961   .0039746     0.24   0.809    -.0068291    .0087511
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.48e-16   .0948332     0.00   1.000    -.1858696    .1858696
                |
          garch |
            L1. |   3.09e-18          .        .       .            .           .
                |
          _cons |    .000549   .0001323     4.15   0.000     .0002898    .0008082
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   2.626918     1.27   0.205     -1.81646    8.480869
----------------+----------------------------------------------------------------
             df |         30    73.5537                        2.1626    4823.638
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2010N]dummy_eventday = 0

           chi2(  1) =    0.01
         Prob > chi2 =    0.9313

 ( 1)  [reNG2010N]dummy_daybefore = 0

           chi2(  1) =    3.13
         Prob > chi2 =    0.0767

 ( 1)  [reNG2010N]dummy_dayafter = 0

           chi2(  1) =    2.08
         Prob > chi2 =    0.1497
(496 observations deleted)
(105 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  149.16708
                                                                 (not concave)
Gradient vector (length =  331.889):
          reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.35e-06        -2.47e-07        -7.58e-07         .2401501         .7543655        -.2381803         -.124562

          reNG2010Q:       reNG2010Q:       reNG2010Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Q            _cons         __000004         __000005            _cons            _cons
r1         1.560847        -.0677977         8.300937         3.413398         .1702889         331.7628         .0814477
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  149.16708
                                                                 (not concave)
Gradient vector (length =  331.889):
          reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:       reNG2010Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.19e-06         6.05e-07        -4.83e-07         .2401501         .7543655        -.2381803         -.124562

          reNG2010Q:       reNG2010Q:       reNG2010Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Q            _cons         __000004         __000005            _cons            _cons
r1         1.560847        -.0677977         8.300939         3.413398         .1702889         331.7628         .0814477
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     94.45
Log pseudolikelihood =  149.1671                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010Q |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010Q       |
 dummy_eventday |   .0024905   .0202477     0.12   0.902    -.0371942    .0421753
dummy_daybefore |   .0336995   .0227227     1.48   0.138    -.0108361    .0782351
 dummy_dayafter |   .0303946   .0212408     1.43   0.152    -.0112365    .0720258
           reSP |  -.0733042   .3970985    -0.18   0.854    -.8516029    .7049946
          reLib |  -.1511639   .1638412    -0.92   0.356    -.4722866    .1699589
        reTnote |   .3756888    .274241     1.37   0.171    -.1618136    .9131912
           reCR |   2.023959   .8650276     2.34   0.019     .3285358    3.719382
          reBDI |  -.0399355   .2839019    -0.14   0.888     -.596373     .516502
      reCL2010Q |  -1.210742   .5381559    -2.25   0.024    -2.265508   -.1559756
          _cons |   .0008207   .0039414     0.21   0.835    -.0069044    .0085457
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   4.06e-18   .1528216     0.00   1.000    -.2995249    .2995249
                |
          garch |
            L1. |   5.24e-19          .        .       .            .           .
                |
          _cons |   .0005133    .000153     3.35   0.001     .0002134    .0008132
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   3.598007     0.93   0.354     -3.71976    10.38417
----------------+----------------------------------------------------------------
             df |         30   100.7442                       2.02424    32345.51
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2010Q]dummy_eventday = 0

           chi2(  1) =    0.02
         Prob > chi2 =    0.9021

 ( 1)  [reNG2010Q]dummy_daybefore = 0

           chi2(  1) =    2.20
         Prob > chi2 =    0.1381

 ( 1)  [reNG2010Q]dummy_dayafter = 0

           chi2(  1) =    2.05
         Prob > chi2 =    0.1524
(496 observations deleted)
(128 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  150.85145
                                                                 (not concave)
Gradient vector (length = 395.1981):
          reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.06e-07         3.90e-07        -1.50e-08         .2326184         .8601025        -.3048295        -.1254023

          reNG2010U:       reNG2010U:       reNG2010U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010U            _cons         __000004         __000005            _cons            _cons
r1         1.629001        -.0176325         15.08931         1.794038         .1920744         394.9013         .0930803
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  150.85145
                                                                 (not concave)
Gradient vector (length = 395.1981):
          reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:       reNG2010U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -9.65e-07         9.54e-08         7.57e-06         .2326182         .8601026        -.3048297        -.1254024

          reNG2010U:       reNG2010U:       reNG2010U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010U            _cons         __000004         __000005            _cons            _cons
r1         1.629002        -.0176326         15.08931         1.794038         .1920744         394.9013         .0930803
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     12.65
Log pseudolikelihood =  150.8514                   Prob > chi2     =    0.0811

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010U |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010U       |
 dummy_eventday |    .003208   .0202355     0.16   0.874    -.0364528    .0428689
dummy_daybefore |   .0329843   .0226952     1.45   0.146    -.0114974    .0774661
 dummy_dayafter |   .0302631   .0204942     1.48   0.140    -.0099048     .070431
           reSP |  -.0558475   .3762581    -0.15   0.882    -.7932998    .6816049
          reLib |  -.1281584   .1678041    -0.76   0.445    -.4570485    .2007316
        reTnote |   .3465113    .264001     1.31   0.189    -.1709212    .8639437
           reCR |   1.844072    .845092     2.18   0.029     .1877217    3.500421
          reBDI |  -.0436288   .2867764    -0.15   0.879    -.6057003    .5184427
      reCL2010U |  -1.114231   .4909649    -2.27   0.023    -2.076505   -.1519578
          _cons |   .0006091   .0039011     0.16   0.876    -.0070369    .0082552
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.15e-18   .2729984     0.00   1.000    -.5350671    .5350671
                |
          garch |
            L1. |   7.15e-19          .        .       .            .           .
                |
          _cons |   .0004864   .0001979     2.46   0.014     .0000985    .0008743
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   3.723079     0.90   0.371    -3.964896    10.62931
----------------+----------------------------------------------------------------
             df |         30   104.2462                       2.01897     41330.4
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2010U]dummy_eventday = 0

           chi2(  1) =    0.03
         Prob > chi2 =    0.8740

 ( 1)  [reNG2010U]dummy_daybefore = 0

           chi2(  1) =    2.11
         Prob > chi2 =    0.1461

 ( 1)  [reNG2010U]dummy_dayafter = 0

           chi2(  1) =    2.18
         Prob > chi2 =    0.1398
(496 observations deleted)
(149 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  153.18426
                                                                 (not concave)
Gradient vector (length = 528.2987):
          reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.77e-07         9.64e-08         9.93e-07         .2909395         .8895891        -.2668235        -.0720893

          reNG2010V:       reNG2010V:       reNG2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000004         __000005            _cons            _cons
r1         1.709391         .0820033         16.97165         1.791675         .2383021         528.0192         .1170046
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  153.18426
                                                                 (not concave)
Gradient vector (length = 528.2987):
          reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.20e-06        -2.45e-06         7.48e-07         .2909395         .8895891        -.2668235        -.0720893

          reNG2010V:       reNG2010V:       reNG2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000004         __000005            _cons            _cons
r1          1.70939         .0820033         16.97164         1.791675         .2383021         528.0192         .1170046
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     11.67
Log pseudolikelihood =  153.1843                   Prob > chi2     =    0.1119

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010V       |
 dummy_eventday |   .0037394    .018735     0.20   0.842    -.0329806    .0404593
dummy_daybefore |   .0305677   .0211097     1.45   0.148    -.0108066     .071942
 dummy_dayafter |   .0270807    .018016     1.50   0.133      -.00823    .0623915
           reSP |  -.0506367    .351336    -0.14   0.885    -.7392425    .6379692
          reLib |  -.0992036   .1548617    -0.64   0.522    -.4027269    .2043197
        reTnote |   .3161192   .2472538     1.28   0.201    -.1684894    .8007277
           reCR |   1.634039   .8098424     2.02   0.044     .0467772    3.221301
          reBDI |  -.0341768   .2673002    -0.13   0.898    -.5580756     .489722
      reCL2010V |  -.9891553   .4499807    -2.20   0.028    -1.871101   -.1072093
          _cons |   .0002594   .0035519     0.07   0.942    -.0067021    .0072209
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.57e-18   .2991175     0.00   1.000    -.5862595    .5862595
                |
          garch |
            L1. |   1.46e-18          .        .       .            .           .
                |
          _cons |   .0004513   .0001996     2.26   0.024       .00006    .0008426
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   3.305585     1.01   0.313    -3.146623    9.811032
----------------+----------------------------------------------------------------
             df |         30   92.55638                      2.042997    18235.79
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2010V]dummy_eventday = 0

           chi2(  1) =    0.04
         Prob > chi2 =    0.8418

 ( 1)  [reNG2010V]dummy_daybefore = 0

           chi2(  1) =    2.10
         Prob > chi2 =    0.1476

 ( 1)  [reNG2010V]dummy_dayafter = 0

           chi2(  1) =    2.26
         Prob > chi2 =    0.1328
(496 observations deleted)
(170 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  163.97103
                                                                 (not concave)
Gradient vector (length = 830.2654):
          reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.63e-06        -3.34e-07         7.68e-07         .4111116         .9861277        -.3525807         .0170454

          reNG2010X:       reNG2010X:       reNG2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000004         __000005            _cons            _cons
r1         2.203457         .2649557         21.85506         1.881846         .2658701         829.9717         .1345176
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  163.97103
                                                                 (not concave)
Gradient vector (length = 830.2654):
          reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.18e-06         1.87e-06        -1.80e-07         .4111117         .9861277        -.3525807         .0170454

          reNG2010X:       reNG2010X:       reNG2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000004         __000005            _cons            _cons
r1         2.203457         .2649557         21.85506         1.881846         .2658701         829.9717         .1345176
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     10.43
Log pseudolikelihood =   163.971                   Prob > chi2     =    0.1652

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010X       |
 dummy_eventday |   .0050856   .0158931     0.32   0.749    -.0260643    .0362356
dummy_daybefore |   .0241893   .0186398     1.30   0.194    -.0123441    .0607226
 dummy_dayafter |   .0232021   .0152791     1.52   0.129    -.0067443    .0531485
           reSP |  -.0330249   .2908197    -0.11   0.910     -.603021    .5369711
          reLib |  -.0649912   .1171052    -0.55   0.579    -.2945131    .1645308
        reTnote |   .2723224   .2135629     1.28   0.202    -.1462531    .6908979
           reCR |   1.204326   .6729048     1.79   0.073    -.1145433    2.523195
          reBDI |   .0019859   .2335983     0.01   0.993    -.4558583      .45983
      reCL2010X |  -.7000733   .3633542    -1.93   0.054    -1.412234    .0120878
          _cons |  -.0001331   .0027047    -0.05   0.961    -.0054341    .0051679
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   7.07e-18   .2752163     0.00   1.000    -.5394141    .5394141
                |
          garch |
            L1. |   4.27e-18          .        .       .            .           .
                |
          _cons |   .0003203   .0001369     2.34   0.019      .000052    .0005886
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   3.028288     1.10   0.271     -2.60313    9.267539
----------------+----------------------------------------------------------------
             df |         30   84.79206                      2.074041    10590.66
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2010X]dummy_eventday = 0

           chi2(  1) =    0.10
         Prob > chi2 =    0.7490

 ( 1)  [reNG2010X]dummy_daybefore = 0

           chi2(  1) =    1.68
         Prob > chi2 =    0.1944

 ( 1)  [reNG2010X]dummy_dayafter = 0

           chi2(  1) =    2.31
         Prob > chi2 =    0.1289
(496 observations deleted)
(744 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   173.8652
                                                                 (not concave)
Gradient vector (length =  1624.67):
          reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.10e-06         2.17e-06         2.46e-06         .4327876         .9125808        -.4246846          .105112

          reNG2010Z:       reNG2010Z:       reNG2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000004         __000005            _cons            _cons
r1         2.517557         .4437403          19.9284         1.207491          .379367         1624.545         .1912912
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   173.8652
                                                                 (not concave)
Gradient vector (length =  1624.67):
          reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -6.89e-06        -.0000121        -.0000101         .4327879         .9125803        -.4246843         .1051122

          reNG2010Z:       reNG2010Z:       reNG2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000004         __000005            _cons            _cons
r1         2.517556         .4437402         19.92836         1.207491          .379367         1624.545         .1912912
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    118.00
Log pseudolikelihood =  173.8652                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010Z       |
 dummy_eventday |   .0055571   .0112787     0.49   0.622    -.0165487    .0276629
dummy_daybefore |    .018161   .0133883     1.36   0.175    -.0080795    .0444015
 dummy_dayafter |   .0197419   .0121978     1.62   0.106    -.0041654    .0436492
           reSP |  -.0284469   .2431043    -0.12   0.907    -.5049225    .4480287
          reLib |  -.0555185   .0907737    -0.61   0.541    -.2334316    .1223947
        reTnote |   .2385516   .1852018     1.29   0.198    -.1244372    .6015404
           reCR |    .901362   .5126307     1.76   0.079    -.1033758      1.9061
          reBDI |   .0234386   .1681761     0.14   0.889    -.3061805    .3530578
      reCL2010Z |  -.5075239   .2984897    -1.70   0.089    -1.092553    .0775052
          _cons |  -.0003112   .0022863    -0.14   0.892    -.0047922    .0041699
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   6.26e-18   .1847298     0.00   1.000    -.3620638    .3620638
                |
          garch |
            L1. |   1.45e-16          .        .       .            .           .
                |
          _cons |   .0002335   .0000749     3.12   0.002     .0000867    .0003803
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.924729     1.73   0.083    -.4401956    7.104605
----------------+----------------------------------------------------------------
             df |         30   53.89242                       2.64391    1219.561
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2010Z]dummy_eventday = 0

           chi2(  1) =    0.24
         Prob > chi2 =    0.6222

 ( 1)  [reNG2010Z]dummy_daybefore = 0

           chi2(  1) =    1.84
         Prob > chi2 =    0.1749

 ( 1)  [reNG2010Z]dummy_dayafter = 0

           chi2(  1) =    2.62
         Prob > chi2 =    0.1056
(267 observations deleted)
(212 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  177.16288
                                                                 (not concave)
Gradient vector (length = 1807.823):
          reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.79e-06        -1.95e-06         6.98e-07         .4714229         .8876216        -.4995504         .0805331

          reNG2011F:       reNG2011F:       reNG2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000004         __000005            _cons            _cons
r1         2.677655         .4143017         21.01885         .2068919         .3801826         1807.699         .1923608
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  177.16288
                                                                 (not concave)
Gradient vector (length = 1807.823):
          reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.79e-06        -1.95e-06         6.98e-07         .4714229         .8876216        -.4995504         .0805331

          reNG2011F:       reNG2011F:       reNG2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000004         __000005            _cons            _cons
r1         2.677655         .4143017         21.01885         .2068919         .3801826         1807.699         .1923608
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    112.37
Log pseudolikelihood =  177.1629                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011F |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011F       |
 dummy_eventday |   .0059332   .0100422     0.59   0.555    -.0137492    .0256156
dummy_daybefore |   .0158678   .0119529     1.33   0.184    -.0075595     .039295
 dummy_dayafter |   .0184986   .0113928     1.62   0.104    -.0038308    .0408281
           reSP |  -.0429465   .2349332    -0.18   0.855    -.5034071     .417514
          reLib |  -.0528739   .0804908    -0.66   0.511     -.210633    .1048852
        reTnote |   .2312717   .1793623     1.29   0.197     -.120272    .5828154
           reCR |   .8379112   .4851479     1.73   0.084    -.1129612    1.788784
          reBDI |   .0282699   .1505236     0.19   0.851    -.2667509    .3232907
      reCL2011F |  -.4574959   .2788078    -1.64   0.101    -1.003949    .0889573
          _cons |  -.0003852   .0021924    -0.18   0.861    -.0046823    .0039119
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |          0   .1861829     0.00   1.000    -.3649118    .3649118
                |
          garch |
            L1. |          0  (omitted)
                |
          _cons |   .0002103   .0000636     3.31   0.001     .0000857    .0003349
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.778307     1.87   0.061    -.1532126    6.817622
----------------+----------------------------------------------------------------
             df |         30   49.79259                      2.857947    915.8091
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011F]dummy_eventday = 0

           chi2(  1) =    0.35
         Prob > chi2 =    0.5546

 ( 1)  [reNG2011F]dummy_daybefore = 0

           chi2(  1) =    1.76
         Prob > chi2 =    0.1843

 ( 1)  [reNG2011F]dummy_dayafter = 0

           chi2(  1) =    2.64
         Prob > chi2 =    0.1044
(288 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  177.46477
                                                                 (not concave)
Gradient vector (length = 1671.698):
          reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.58e-06        -1.73e-06         8.11e-07         .4686764         .8570946        -.5552456         .0606915

          reNG2011G:       reNG2011G:       reNG2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000004         __000005            _cons            _cons
r1         2.782058         .3711447         21.39173        -.2919377         .3484011         1671.558         .1772373
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  177.46477
                                                                 (not concave)
Gradient vector (length = 1671.698):
          reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.23e-06        -1.41e-06         1.15e-07         .4686764         .8570946        -.5552456         .0606915

          reNG2011G:       reNG2011G:       reNG2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000004         __000005            _cons            _cons
r1         2.782058         .3711447         21.39173        -.2919377         .3484011         1671.558         .1772373
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =      9.55
Log pseudolikelihood =  177.4648                   Prob > chi2     =    0.2155

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011G |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011G       |
 dummy_eventday |   .0057399   .0100156     0.57   0.567    -.0138902    .0253701
dummy_daybefore |   .0148722   .0118294     1.26   0.209    -.0083129    .0380574
 dummy_dayafter |   .0169723   .0114998     1.48   0.140     -.005567    .0395115
           reSP |  -.0551235   .2378714    -0.23   0.817    -.5213428    .4110958
          reLib |  -.0504771   .0768574    -0.66   0.511    -.2011148    .1001607
        reTnote |     .23189   .1822934     1.27   0.203    -.1253985    .5891785
           reCR |   .7595173   .4723716     1.61   0.108    -.1663139    1.685349
          reBDI |   .0328608    .150587     0.22   0.827    -.2622842    .3280059
      reCL2011G |  -.4039449   .2728442    -1.48   0.139    -.9387098      .13082
          _cons |  -.0003997   .0022042    -0.18   0.856    -.0047199    .0039205
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -5.70e-18   .1813994    -0.00   1.000    -.3555363    .3555363
                |
          garch |
            L1. |   3.72e-18          .        .       .            .           .
                |
          _cons |   .0002084   .0000608     3.43   0.001     .0000892    .0003276
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.883624     1.77   0.077    -.3596305    7.024039
----------------+----------------------------------------------------------------
             df |         30   52.74147                      2.697934    1125.315
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011G]dummy_eventday = 0

           chi2(  1) =    0.33
         Prob > chi2 =    0.5666

 ( 1)  [reNG2011G]dummy_daybefore = 0

           chi2(  1) =    1.58
         Prob > chi2 =    0.2087

 ( 1)  [reNG2011G]dummy_dayafter = 0

           chi2(  1) =    2.18
         Prob > chi2 =    0.1400
(307 observations deleted)
(255 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  177.67859
                                                                 (not concave)
Gradient vector (length = 1781.428):
          reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.65e-06        -5.28e-07        -2.08e-06         .4797016         .7558859        -.5274798         .0704409

          reNG2011H:       reNG2011H:       reNG2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000004         __000005            _cons            _cons
r1          2.73389          .376707         18.06517        -.6213956         .3686253         1781.334         .1863253
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  177.67859
                                                                 (not concave)
Gradient vector (length = 1781.428):
          reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         6.45e-07         .0000157         2.12e-06         .4797016         .7558862        -.5274797         .0704409

          reNG2011H:       reNG2011H:       reNG2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000004         __000005            _cons            _cons
r1         2.733891         .3767072         18.06519        -.6213956         .3686253         1781.334         .1863253
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    100.60
Log pseudolikelihood =  177.6786                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011H |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011H       |
 dummy_eventday |   .0054428   .0095491     0.57   0.569    -.0132731    .0241587
dummy_daybefore |   .0135955   .0111827     1.22   0.224    -.0083221    .0355131
 dummy_dayafter |   .0151431   .0113413     1.34   0.182    -.0070854    .0373717
           reSP |  -.0656494   .2355743    -0.28   0.780    -.5273664    .3960677
          reLib |  -.0456241   .0723927    -0.63   0.529    -.1875112     .096263
        reTnote |   .2349509   .1824423     1.29   0.198    -.1226294    .5925312
           reCR |   .6926658   .4642484     1.49   0.136    -.2172444    1.602576
          reBDI |   .0397089   .1432314     0.28   0.782    -.2410195    .3204373
      reCL2011H |  -.3544723   .2728233    -1.30   0.194    -.8891961    .1802516
          _cons |  -.0003789   .0022354    -0.17   0.865    -.0047602    .0040024
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.27e-16   .1733755    -0.00   1.000    -.3398098    .3398098
                |
          garch |
            L1. |   5.77e-17          .        .       .            .           .
                |
          _cons |   .0002069   .0000577     3.59   0.000     .0000938      .00032
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.769077     1.88   0.060    -.1351236    6.799533
----------------+----------------------------------------------------------------
             df |         30   49.53417                      2.873608    899.4278
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011H]dummy_eventday = 0

           chi2(  1) =    0.32
         Prob > chi2 =    0.5687

 ( 1)  [reNG2011H]dummy_daybefore = 0

           chi2(  1) =    1.48
         Prob > chi2 =    0.2241

 ( 1)  [reNG2011H]dummy_dayafter = 0

           chi2(  1) =    1.78
         Prob > chi2 =    0.1818
(330 observations deleted)
(275 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  181.16924
                                                                 (not concave)
Gradient vector (length = 2303.049):
          reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.87e-07         4.27e-06         8.84e-07         .5012744         .6645545         -.510156         .0920611

          reNG2011J:       reNG2011J:       reNG2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000004         __000005            _cons            _cons
r1         2.776286         .4044859         13.64421        -.1222703         .4261144         2303.007          .212119
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  181.16924
                                                                 (not concave)
Gradient vector (length = 2303.049):
          reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.00e-06         4.13e-06         2.09e-07         .5012744         .6645545         -.510156         .0920611

          reNG2011J:       reNG2011J:       reNG2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000004         __000005            _cons            _cons
r1         2.776286         .4044859         13.64421        -.1222703         .4261144         2303.007          .212119
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =    103.23
Log pseudolikelihood =  181.1692                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011J |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011J       |
 dummy_eventday |   .0065795   .0087022     0.76   0.450    -.0104765    .0236356
dummy_daybefore |   .0109832   .0100227     1.10   0.273     -.008661    .0306274
 dummy_dayafter |   .0101471   .0105964     0.96   0.338    -.0106215    .0309158
           reSP |   -.077426   .2242264    -0.35   0.730    -.5169016    .3620497
          reLib |  -.0448325   .0668184    -0.67   0.502    -.1757943    .0861292
        reTnote |   .2280668   .1730867     1.32   0.188    -.1111769    .5673104
           reCR |   .5510602   .4490872     1.23   0.220    -.3291344    1.431255
          reBDI |   .0627864   .1302378     0.48   0.630     -.192475    .3180479
      reCL2011J |  -.2480579   .2607759    -0.95   0.341    -.7591693    .2630534
          _cons |  -.0001004   .0021047    -0.05   0.962    -.0042255    .0040248
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -5.85e-18   .1864765    -0.00   1.000    -.3654872    .3654872
                |
          garch |
            L1. |   2.41e-18          .        .       .            .           .
                |
          _cons |    .000185   .0000531     3.48   0.000     .0000809    .0002892
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.654357     2.01   0.044     .0897249    6.574684
----------------+----------------------------------------------------------------
             df |         30   46.32199                      3.093873    718.7192
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011J]dummy_eventday = 0

           chi2(  1) =    0.57
         Prob > chi2 =    0.4496

 ( 1)  [reNG2011J]dummy_daybefore = 0

           chi2(  1) =    1.20
         Prob > chi2 =    0.2732

 ( 1)  [reNG2011J]dummy_dayafter = 0

           chi2(  1) =    0.92
         Prob > chi2 =    0.3383
(350 observations deleted)
(295 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   181.7779
                                                                 (not concave)
Gradient vector (length = 2548.964):
          reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.94e-06        -1.00e-06        -4.10e-06         .5153707         .6042492        -.4790672         .1083653

          reNG2011K:       reNG2011K:       reNG2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000004         __000005            _cons            _cons
r1         2.686745         .4188802         11.11322        -.0523648         .4622815         2548.938         .2291233
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   181.7779
                                                                 (not concave)
Gradient vector (length = 2548.964):
          reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.64e-06        -4.28e-07        -3.96e-06         .5153707         .6042492        -.4790672         .1083653

          reNG2011K:       reNG2011K:       reNG2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000004         __000005            _cons            _cons
r1         2.686745         .4188802         11.11322        -.0523648         .4622815         2548.938         .2291233
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =      8.57
Log pseudolikelihood =  181.7779                   Prob > chi2     =    0.2847

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011K |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011K       |
 dummy_eventday |   .0067996   .0084013     0.81   0.418    -.0096666    .0232658
dummy_daybefore |   .0098718   .0096717     1.02   0.307    -.0090845     .028828
 dummy_dayafter |   .0091096    .010101     0.90   0.367     -.010688    .0289072
           reSP |  -.0843464   .2186646    -0.39   0.700    -.5129211    .3442283
          reLib |   -.047722   .0655112    -0.73   0.466    -.1761216    .0806776
        reTnote |   .2239636    .168062     1.33   0.183    -.1054318    .5533591
           reCR |   .5248815   .4371847     1.20   0.230    -.3319848    1.381748
          reBDI |   .0686132   .1253215     0.55   0.584    -.1770125    .3142389
      reCL2011K |  -.2292025   .2530472    -0.91   0.365    -.7251659    .2667609
          _cons |   .0000232    .002091     0.01   0.991    -.0040752    .0041215
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -5.89e-18   .1940814    -0.00   1.000    -.3803926    .3803926
                |
          garch |
            L1. |   1.73e-18          .        .       .            .           .
                |
          _cons |   .0001814   .0000528     3.44   0.001      .000078    .0002848
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.521977     2.19   0.029     .3491852    6.315224
----------------+----------------------------------------------------------------
             df |         30   42.61535                      3.417912    554.9258
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011K]dummy_eventday = 0

           chi2(  1) =    0.66
         Prob > chi2 =    0.4183

 ( 1)  [reNG2011K]dummy_daybefore = 0

           chi2(  1) =    1.04
         Prob > chi2 =    0.3074

 ( 1)  [reNG2011K]dummy_dayafter = 0

           chi2(  1) =    0.81
         Prob > chi2 =    0.3671
(371 observations deleted)
(317 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  182.60206
                                                                 (not concave)
Gradient vector (length =  2666.11):
          reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -6.46e-07        -5.51e-06        -2.67e-07         .5196069         .5727471        -.4719858         .1074332

          reNG2011M:       reNG2011M:       reNG2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000004         __000005            _cons            _cons
r1         2.693111         .3916339         9.794578        -.1046175         .4709647         2666.091         .2332351
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  182.60206
                                                                 (not concave)
Gradient vector (length =  2666.11):
          reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.19e-06        -5.30e-06         4.17e-06         .5196068         .5727472         -.471986         .1074331

          reNG2011M:       reNG2011M:       reNG2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000004         __000005            _cons            _cons
r1         2.693111         .3916338         9.794584        -.1046175         .4709647         2666.091         .2332351
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     92.49
Log pseudolikelihood =  182.6021                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011M |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011M       |
 dummy_eventday |   .0063467   .0081609     0.78   0.437    -.0096484    .0223417
dummy_daybefore |   .0089878   .0093073     0.97   0.334     -.009254    .0272297
 dummy_dayafter |   .0081117   .0097814     0.83   0.407    -.0110595    .0272829
           reSP |  -.0942853   .2158852    -0.44   0.662    -.5174125    .3288419
          reLib |  -.0481401   .0632806    -0.76   0.447    -.1721677    .0758875
        reTnote |   .2186649   .1644887     1.33   0.184    -.1037271    .5410569
           reCR |   .4932791   .4257824     1.16   0.247    -.3412391    1.327797
          reBDI |   .0722154    .121368     0.60   0.552    -.1656614    .3100923
      reCL2011M |    -.20136   .2465026    -0.82   0.414    -.6844962    .2817763
          _cons |   .0000649   .0020826     0.03   0.975    -.0040168    .0041467
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.19e-17   .2056751    -0.00   1.000    -.4031158    .4031158
                |
          garch |
            L1. |   3.23e-18          .        .       .            .           .
                |
          _cons |   .0001767   .0000524     3.37   0.001      .000074    .0002793
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.451582     2.30   0.022     .4871567    6.177252
----------------+----------------------------------------------------------------
             df |         30   40.64429                      3.627682    483.6667
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011M]dummy_eventday = 0

           chi2(  1) =    0.60
         Prob > chi2 =    0.4367

 ( 1)  [reNG2011M]dummy_daybefore = 0

           chi2(  1) =    0.93
         Prob > chi2 =    0.3342

 ( 1)  [reNG2011M]dummy_dayafter = 0

           chi2(  1) =    0.69
         Prob > chi2 =    0.4069
(393 observations deleted)
(338 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  183.68429
                                                                 (not concave)
Gradient vector (length = 2707.887):
          reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.94e-06         4.17e-06         4.59e-06         .5349672         .5623991        -.4754611         .1173949

          reNG2011N:       reNG2011N:       reNG2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000004         __000005            _cons            _cons
r1         2.741453         .3962693         10.19998        -.1047918         .4622554         2707.866         .2285243
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  183.68429
                                                                 (not concave)
Gradient vector (length = 2707.887):
          reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.30e-06         3.88e-06         4.32e-06         .5349672         .5623991        -.4754611         .1173949

          reNG2011N:       reNG2011N:       reNG2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000004         __000005            _cons            _cons
r1         2.741453         .3962693         10.19998        -.1047918         .4622554         2707.866         .2285243
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     90.15
Log pseudolikelihood =  183.6843                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011N |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011N       |
 dummy_eventday |   .0066164    .008043     0.82   0.411    -.0091476    .0223805
dummy_daybefore |    .008048    .009146     0.88   0.379    -.0098778    .0259738
 dummy_dayafter |   .0075249   .0095887     0.78   0.433    -.0112686    .0263183
           reSP |  -.0954146   .2127776    -0.45   0.654     -.512451    .3216219
          reLib |  -.0505008   .0613032    -0.82   0.410    -.1706529    .0696514
        reTnote |    .213522   .1618087     1.32   0.187    -.1036172    .5306611
           reCR |   .4819315   .4179762     1.15   0.249    -.3372868     1.30115
          reBDI |   .0769177   .1196316     0.64   0.520     -.157556    .3113913
      reCL2011N |  -.1919134   .2406606    -0.80   0.425    -.6635995    .2797727
          _cons |   .0001263   .0020325     0.06   0.950    -.0038573    .0041099
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.17e-17   .2123036    -0.00   1.000    -.4161073    .4161073
                |
          garch |
            L1. |   3.17e-18          .        .       .            .           .
                |
          _cons |   .0001707   .0000516     3.31   0.001     .0000696    .0002718
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205    1.49888     2.22   0.026     .3944543    6.269955
----------------+----------------------------------------------------------------
             df |         30   41.96863                      3.483574    530.4534
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011N]dummy_eventday = 0

           chi2(  1) =    0.68
         Prob > chi2 =    0.4107

 ( 1)  [reNG2011N]dummy_daybefore = 0

           chi2(  1) =    0.77
         Prob > chi2 =    0.3789

 ( 1)  [reNG2011N]dummy_dayafter = 0

           chi2(  1) =    0.62
         Prob > chi2 =    0.4326
(413 observations deleted)
(358 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  184.26619
                                                                 (not concave)
Gradient vector (length = 2761.202):
          reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.78e-06         1.36e-06         1.59e-06         .5365891         .5694261        -.4824866         .1183621

          reNG2011Q:       reNG2011Q:       reNG2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000004         __000005            _cons            _cons
r1         2.745077          .395271         11.15573        -.1879373          .462724         2761.178         .2287504
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  184.26619
                                                                 (not concave)
Gradient vector (length = 2761.202):
          reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.61e-06         9.02e-07         1.19e-06         .5365891         .5694261        -.4824866         .1183621

          reNG2011Q:       reNG2011Q:       reNG2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000004         __000005            _cons            _cons
r1         2.745077          .395271         11.15573        -.1879373          .462724         2761.178         .2287504
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     86.86
Log pseudolikelihood =  184.2662                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011Q |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011Q       |
 dummy_eventday |   .0067534   .0078806     0.86   0.391    -.0086922     .022199
dummy_daybefore |   .0075056   .0089472     0.84   0.402    -.0100305    .0250417
 dummy_dayafter |   .0072667   .0094504     0.77   0.442    -.0112558    .0257892
           reSP |  -.0915943   .2103808    -0.44   0.663    -.5039331    .3207446
          reLib |  -.0509433   .0600557    -0.85   0.396    -.1686503    .0667637
        reTnote |   .2080846   .1591985     1.31   0.191    -.1039388    .5201079
           reCR |   .4725823   .4082781     1.16   0.247     -.327628    1.272793
          reBDI |   .0783083   .1173361     0.67   0.505    -.1516662    .3082829
      reCL2011Q |  -.1908447   .2358101    -0.81   0.418     -.653024    .2713345
          _cons |   .0001051     .00201     0.05   0.958    -.0038344    .0040446
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -6.10e-18   .2178102    -0.00   1.000    -.4269001    .4269001
                |
          garch |
            L1. |   1.62e-18          .        .       .            .           .
                |
          _cons |   .0001676   .0000509     3.29   0.001     .0000677    .0002674
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.473049     2.26   0.024      .445081    6.219328
----------------+----------------------------------------------------------------
             df |         30   41.24538                      3.560617    504.3655
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011Q]dummy_eventday = 0

           chi2(  1) =    0.73
         Prob > chi2 =    0.3915

 ( 1)  [reNG2011Q]dummy_daybefore = 0

           chi2(  1) =    0.70
         Prob > chi2 =    0.4015

 ( 1)  [reNG2011Q]dummy_dayafter = 0

           chi2(  1) =    0.59
         Prob > chi2 =    0.4419
(436 observations deleted)
(381 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   184.6171
                                                                 (not concave)
Gradient vector (length = 2751.288):
          reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.12e-06        -3.67e-06         1.46e-06         .5430767         .5480538        -.4766629         .1277835

          reNG2011U:       reNG2011U:       reNG2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000004         __000005            _cons            _cons
r1         2.749826         .4009596         10.24137        -.2374877          .456003         2751.268         .2250345
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   184.6171
                                                                 (not concave)
Gradient vector (length = 2751.288):
          reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.12e-06        -3.67e-06         1.46e-06         .5430767         .5480538        -.4766629         .1277835

          reNG2011U:       reNG2011U:       reNG2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000004         __000005            _cons            _cons
r1         2.749826         .4009596         10.24137        -.2374877          .456003         2751.268         .2250345
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =      8.50
Log pseudolikelihood =  184.6171                   Prob > chi2     =    0.2904

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011U |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011U       |
 dummy_eventday |   .0067182   .0078538     0.86   0.392     -.008675    .0221114
dummy_daybefore |   .0075437    .008876     0.85   0.395    -.0098529    .0249403
 dummy_dayafter |   .0074571   .0094054     0.79   0.428    -.0109772    .0258914
           reSP |  -.0918394   .2100837    -0.44   0.662     -.503596    .3199171
          reLib |  -.0518354   .0590746    -0.88   0.380    -.1676195    .0639486
        reTnote |   .2051384   .1571724     1.31   0.192    -.1029138    .5131905
           reCR |   .4708141   .4031534     1.17   0.243    -.3193521     1.26098
          reBDI |   .0770629   .1168572     0.66   0.510     -.151973    .3060988
      reCL2011U |  -.1934182   .2323613    -0.83   0.405     -.648838    .2620017
          _cons |   .0000959   .0019958     0.05   0.962    -.0038159    .0040077
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |          0   .2277023     0.00   1.000    -.4462882    .4462882
                |
          garch |
            L1. |          0  (omitted)
                |
          _cons |   .0001657   .0000514     3.23   0.001     .0000651    .0002664
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.500636     2.22   0.026     .3910128    6.273396
----------------+----------------------------------------------------------------
             df |         30    42.0178                      3.478477    532.2753
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011U]dummy_eventday = 0

           chi2(  1) =    0.73
         Prob > chi2 =    0.3923

 ( 1)  [reNG2011U]dummy_daybefore = 0

           chi2(  1) =    0.72
         Prob > chi2 =    0.3954

 ( 1)  [reNG2011U]dummy_dayafter = 0

           chi2(  1) =    0.63
         Prob > chi2 =    0.4279
(457 observations deleted)
(401 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   185.9425
                                                                 (not concave)
Gradient vector (length = 2914.052):
          reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.21e-06         2.34e-06        -1.04e-06         .5322435         .5086641        -.4650043         .1267164

          reNG2011V:       reNG2011V:       reNG2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000004         __000005            _cons            _cons
r1         2.725998         .3990357         8.705594        -.0884145         .4630061         2914.037         .2274018
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   185.9425
                                                                 (not concave)
Gradient vector (length = 2914.052):
          reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.21e-06         2.34e-06        -1.04e-06         .5322435         .5086641        -.4650043         .1267164

          reNG2011V:       reNG2011V:       reNG2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000004         __000005            _cons            _cons
r1         2.725998         .3990357         8.705594        -.0884145         .4630061         2914.037         .2274018
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     83.22
Log pseudolikelihood =  185.9425                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011V       |
 dummy_eventday |   .0066022   .0075495     0.87   0.382    -.0081947     .021399
dummy_daybefore |   .0068294   .0084628     0.81   0.420    -.0097573    .0234161
 dummy_dayafter |   .0073666    .009146     0.81   0.421    -.0105592    .0252925
           reSP |  -.0863339   .2046845    -0.42   0.673    -.4875082    .3148404
          reLib |  -.0498822   .0568145    -0.88   0.380    -.1612366    .0614722
        reTnote |   .1965594   .1540382     1.28   0.202    -.1053499    .4984687
           reCR |   .4571781   .3832581     1.19   0.233     -.293994     1.20835
          reBDI |   .0771021   .1120575     0.69   0.491    -.1425266    .2967307
      reCL2011V |  -.1848622   .2253412    -0.82   0.412    -.6265228    .2567985
          _cons |   .0000265   .0019313     0.01   0.989    -.0037589    .0038118
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |          0   .2116788     0.00   1.000    -.4148828    .4148828
                |
          garch |
            L1. |          0  (omitted)
                |
          _cons |   .0001589   .0000472     3.37   0.001     .0000664    .0002514
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.449035     2.30   0.021     .4921477    6.172261
----------------+----------------------------------------------------------------
             df |         30   40.57299                      3.635826    481.2687
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011V]dummy_eventday = 0

           chi2(  1) =    0.76
         Prob > chi2 =    0.3818

 ( 1)  [reNG2011V]dummy_daybefore = 0

           chi2(  1) =    0.65
         Prob > chi2 =    0.4197

 ( 1)  [reNG2011V]dummy_dayafter = 0

           chi2(  1) =    0.65
         Prob > chi2 =    0.4206
(478 observations deleted)
(423 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  190.28314
                                                                 (not concave)
Gradient vector (length = 3442.111):
          reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -5.13e-06        -2.04e-06         2.45e-07         .4043097         .3915395        -.4864773         .1164432

          reNG2011X:       reNG2011X:       reNG2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000004         __000005            _cons            _cons
r1         2.713586         .4221679         6.777376         .5205488         .4763421         3442.103         .2308605
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  190.28314
                                                                 (not concave)
Gradient vector (length = 3442.111):
          reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -4.83e-06        -1.29e-06        -6.09e-06         .4043099         .3915395        -.4864771         .1164433

          reNG2011X:       reNG2011X:       reNG2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000004         __000005            _cons            _cons
r1         2.713586          .422168         6.777371         .5205488         .4763421         3442.103         .2308605
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     10.07
Log pseudolikelihood =  190.2831                   Prob > chi2     =    0.1845

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011X       |
 dummy_eventday |    .006982   .0067345     1.04   0.300    -.0062174    .0201814
dummy_daybefore |   .0043783   .0074866     0.58   0.559    -.0102952    .0190518
 dummy_dayafter |   .0060595   .0085658     0.71   0.479    -.0107291     .022848
           reSP |  -.0854071   .1894914    -0.45   0.652    -.4568035    .2859893
          reLib |  -.0468755   .0520935    -0.90   0.368    -.1489769    .0552259
        reTnote |   .1788435    .144582     1.24   0.216    -.1045321     .462219
           reCR |   .4356783   .3507139     1.24   0.214    -.2517082    1.123065
          reBDI |   .0862079   .1002532     0.86   0.390    -.1102847    .2827005
      reCL2011X |  -.1697842   .2119074    -0.80   0.423     -.585115    .2455466
          _cons |   -.000032   .0017619    -0.02   0.986    -.0034853    .0034212
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -6.28e-18   .1609218    -0.00   1.000    -.3154009    .3154009
                |
          garch |
            L1. |  -1.51e-18          .        .       .            .           .
                |
          _cons |   .0001384   .0000363     3.81   0.000     .0000672    .0002095
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.386046     2.40   0.016     .6156047    6.048804
----------------+----------------------------------------------------------------
             df |         30   38.80928                      3.850775    425.6062
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011X]dummy_eventday = 0

           chi2(  1) =    1.07
         Prob > chi2 =    0.2999

 ( 1)  [reNG2011X]dummy_daybefore = 0

           chi2(  1) =    0.34
         Prob > chi2 =    0.5587

 ( 1)  [reNG2011X]dummy_dayafter = 0

           chi2(  1) =    0.50
         Prob > chi2 =    0.4793
(499 observations deleted)
(748 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  194.57654
                                                                 (not concave)
Gradient vector (length =  3784.08):
          reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.04e-06         3.19e-06         2.60e-06         .3935747         .2413705        -.5064808         .1731832

          reNG2011Z:       reNG2011Z:       reNG2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000004         __000005            _cons            _cons
r1         2.750844         .5445015         5.653346         .4863694         .4570781         3784.074         .2200706
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  194.57654
                                                                 (not concave)
Gradient vector (length =  3784.08):
          reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -5.19e-06        -1.40e-06        -3.08e-06         .3935748         .2413703        -.5064807         .1731833

          reNG2011Z:       reNG2011Z:       reNG2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000004         __000005            _cons            _cons
r1         2.750844         .5445015         5.653328         .4863694         .4570781         3784.074         .2200706
------------------------------------------------------------------------------

ARCH family regression

Sample: 941 - 1003                                 Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     11.43
Log pseudolikelihood =  194.5765                   Prob > chi2     =    0.1211

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011Z       |
 dummy_eventday |   .0069976   .0060846     1.15   0.250    -.0049281    .0189233
dummy_daybefore |   .0025071   .0067829     0.37   0.712    -.0107872    .0158013
 dummy_dayafter |   .0048428   .0080113     0.60   0.546    -.0108591    .0205447
           reSP |  -.0905313   .1749583    -0.52   0.605    -.4334432    .2523806
          reLib |  -.0440303   .0475906    -0.93   0.355    -.1373062    .0492457
        reTnote |   .1657494   .1345884     1.23   0.218     -.098039    .4295378
           reCR |   .4148652   .3205396     1.29   0.196    -.2133809    1.043111
          reBDI |   .0895112   .0909578     0.98   0.325    -.0887628    .2677852
      reCL2011Z |  -.1477969   .1980566    -0.75   0.456    -.5359806    .2403869
          _cons |  -.0001033   .0016423    -0.06   0.950    -.0033223    .0031156
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -4.96e-17    .160204    -0.00   1.000     -.313994     .313994
                |
          garch |
            L1. |  -1.66e-17          .        .       .            .           .
                |
          _cons |   .0001208   .0000316     3.83   0.000     .0000589    .0001827
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.447937     2.30   0.021     .4943003    6.170109
----------------+----------------------------------------------------------------
             df |         30   40.54223                      3.639351    480.2381
---------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)

 ( 1)  [reNG2011Z]dummy_eventday = 0

           chi2(  1) =    1.32
         Prob > chi2 =    0.2501

 ( 1)  [reNG2011Z]dummy_daybefore = 0

           chi2(  1) =    0.14
         Prob > chi2 =    0.7117

 ( 1)  [reNG2011Z]dummy_dayafter = 0

           chi2(  1) =    0.37
         Prob > chi2 =    0.5455
(661 observations deleted)
(466 observations deleted)
(815 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   196.9992
                                                                 (not concave)
Gradient vector (length = 4118.826):
          reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -4.32e-07         1.74e-06        -2.81e-06         .3980358         .1110912        -.4330941         .2177283

          reNG2012F:       reNG2012F:       reNG2012F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012F            _cons         __000004         __000005            _cons            _cons
r1         2.651746         .6459821         2.128344         .1941322         .4606322         4118.824          .220489
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   196.9992
                                                                 (not concave)
Gradient vector (length = 4118.826):
          reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000363        -7.26e-06         2.84e-06         .3980355         .1110915        -.4330945         .2177281

          reNG2012F:       reNG2012F:       reNG2012F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012F            _cons         __000004         __000005            _cons            _cons
r1         2.651743          .645982         2.128377         .1941322         .4606322         4118.824          .220489
------------------------------------------------------------------------------

ARCH family regression

Sample: 745 - 807                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     12.47
Log pseudolikelihood =  196.9992                   Prob > chi2     =    0.0861

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012F |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012F       |
 dummy_eventday |   .0071367   .0056623     1.26   0.208    -.0039612    .0182346
dummy_daybefore |   .0016542   .0062953     0.26   0.793    -.0106844    .0139929
 dummy_dayafter |    .004556   .0076226     0.60   0.550     -.010384     .019496
           reSP |  -.0872793   .1658566    -0.53   0.599    -.4123522    .2377936
          reLib |  -.0467986   .0454208    -1.03   0.303    -.1358217    .0422245
        reTnote |   .1623113   .1304455     1.24   0.213    -.0933571    .4179798
           reCR |   .3999337   .3047025     1.31   0.189    -.1972723    .9971397
          reBDI |   .0936342   .0845267     1.11   0.268     -.072035    .2593035
      reCL2012F |  -.1413624   .1923428    -0.73   0.462    -.5183473    .2356225
          _cons |  -.0001234   .0015754    -0.08   0.938    -.0032112    .0029643
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -6.62e-17   .1496784    -0.00   1.000    -.2933643    .2933643
                |
          garch |
            L1. |  -2.43e-17          .        .       .            .           .
                |
          _cons |   .0001118   .0000278     4.02   0.000     .0000574    .0001663
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.419603     2.35   0.019     .5498332    6.114576
----------------+----------------------------------------------------------------
             df |         30   39.74889                      3.732964    454.4041
---------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  [reNG2012F]dummy_eventday = 0

           chi2(  1) =    1.59
         Prob > chi2 =    0.2075

 ( 1)  [reNG2012F]dummy_daybefore = 0

           chi2(  1) =    0.07
         Prob > chi2 =    0.7927

 ( 1)  [reNG2012F]dummy_dayafter = 0

           chi2(  1) =    0.36
         Prob > chi2 =    0.5500
(485 observations deleted)
(486 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  196.97677
                                                                 (not concave)
Gradient vector (length = 3914.743):
          reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.68e-07        -1.07e-06        -2.07e-08         .4090273          .055286        -.3743777         .2270153

          reNG2012G:       reNG2012G:       reNG2012G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012G            _cons         __000004         __000005            _cons            _cons
r1         2.606238         .6643315         .7237152        -.4157211         .4382816         3914.742         .2086433
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  196.97677
                                                                 (not concave)
Gradient vector (length = 3914.743):
          reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.25e-08        -1.02e-06         3.03e-06         .4090272          .055286        -.3743778         .2270152

          reNG2012G:       reNG2012G:       reNG2012G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012G            _cons         __000004         __000005            _cons            _cons
r1         2.606238         .6643315         .7237181        -.4157211         .4382816         3914.742         .2086433
------------------------------------------------------------------------------

ARCH family regression

Sample: 745 - 807                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     12.84
Log pseudolikelihood =  196.9768                   Prob > chi2     =    0.0760

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012G |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012G       |
 dummy_eventday |   .0068458   .0056684     1.21   0.227    -.0042641    .0179557
dummy_daybefore |   .0018382   .0062631     0.29   0.769    -.0104373    .0141137
 dummy_dayafter |   .0046787    .007611     0.61   0.539    -.0102386    .0195961
           reSP |   -.091355   .1649154    -0.55   0.580    -.4145833    .2318733
          reLib |   -.044087   .0452809    -0.97   0.330     -.132836    .0446619
        reTnote |   .1604674   .1310621     1.22   0.221    -.0964095    .4173444
           reCR |   .4101606   .3021422     1.36   0.175    -.1820273    1.002349
          reBDI |   .0928041   .0844878     1.10   0.272    -.0727889    .2583972
      reCL2012G |  -.1445097   .1921254    -0.75   0.452    -.5210686    .2320492
          _cons |  -.0002155   .0015813    -0.14   0.892    -.0033149    .0028839
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -3.69e-19   .1572951    -0.00   1.000    -.3082928    .3082928
                |
          garch |
            L1. |  -7.04e-20          .        .       .            .           .
                |
          _cons |    .000112   .0000274     4.08   0.000     .0000582    .0001657
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.488201     2.24   0.025     .4153836    6.249025
----------------+----------------------------------------------------------------
             df |         30   41.66964                      3.514952    519.5082
---------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  [reNG2012G]dummy_eventday = 0

           chi2(  1) =    1.46
         Prob > chi2 =    0.2272

 ( 1)  [reNG2012G]dummy_daybefore = 0

           chi2(  1) =    0.09
         Prob > chi2 =    0.7691

 ( 1)  [reNG2012G]dummy_dayafter = 0

           chi2(  1) =    0.38
         Prob > chi2 =    0.5387
(505 observations deleted)
(507 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  195.89188
                                                                 (not concave)
Gradient vector (length = 3914.463):
          reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.34e-06         3.11e-07        -1.95e-06         .3611333        -.0235589        -.3378364            .2223

          reNG2012H:       reNG2012H:       reNG2012H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012H            _cons         __000004         __000005            _cons            _cons
r1         2.463929         .6374893        -1.325902         .1009261         .4534821         3914.462         .2159687
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  195.89188
                                                                 (not concave)
Gradient vector (length = 3914.463):
          reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.22e-06        -.0000483         5.87e-06         .3611328        -.0235595        -.3378372         .2222995

          reNG2012H:       reNG2012H:       reNG2012H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012H            _cons         __000004         __000005            _cons            _cons
r1         2.463926         .6374888        -1.325936         .1009261         .4534821         3914.462         .2159687
------------------------------------------------------------------------------

ARCH family regression

Sample: 745 - 807                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     13.01
Log pseudolikelihood =  195.8919                   Prob > chi2     =    0.0718

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012H |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012H       |
 dummy_eventday |   .0076047   .0056449     1.35   0.178    -.0034591    .0186684
dummy_daybefore |   .0010597   .0061862     0.17   0.864     -.011065    .0131843
 dummy_dayafter |   .0042794   .0075653     0.57   0.572    -.0105484    .0191071
           reSP |  -.0989188   .1667159    -0.59   0.553     -.425676    .2278384
          reLib |  -.0446028   .0459446    -0.97   0.332    -.1346527     .045447
        reTnote |   .1673963   .1322622     1.27   0.206    -.0918328    .4266253
           reCR |   .4054328   .3014915     1.34   0.179    -.1854797    .9963454
          reBDI |   .0984516   .0837619     1.18   0.240    -.0657188    .2626219
      reCL2012H |  -.1352162   .1931835    -0.70   0.484    -.5138488    .2434165
          _cons |  -.0001567   .0016207    -0.10   0.923    -.0033332    .0030197
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -6.62e-17   .1480648    -0.00   1.000    -.2902017    .2902017
                |
          garch |
            L1. |  -2.84e-17          .        .       .            .           .
                |
          _cons |   .0001158    .000028     4.14   0.000     .0000611    .0001706
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.372152     2.43   0.015      .642836    6.021573
----------------+----------------------------------------------------------------
             df |         30   38.42026                      3.901867    414.2265
---------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  [reNG2012H]dummy_eventday = 0

           chi2(  1) =    1.81
         Prob > chi2 =    0.1779

 ( 1)  [reNG2012H]dummy_daybefore = 0

           chi2(  1) =    0.03
         Prob > chi2 =    0.8640

 ( 1)  [reNG2012H]dummy_dayafter = 0

           chi2(  1) =    0.32
         Prob > chi2 =    0.5716
(527 observations deleted)
(527 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  195.45579
                                                                 (not concave)
Gradient vector (length = 4734.765):
          reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.85e-06         6.57e-06         5.14e-06         .2660624        -.0561101         -.220183         .2402748

          reNG2012J:       reNG2012J:       reNG2012J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012J            _cons         __000004         __000005            _cons            _cons
r1          1.96929         .6472386         2.740953         1.729356         .5551502         4734.764         .2660081
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  195.45579
                                                                 (not concave)
Gradient vector (length = 4734.765):
          reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.06e-06         4.51e-06         2.51e-06         .2660624        -.0561102        -.2201829         .2402748

          reNG2012J:       reNG2012J:       reNG2012J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012J            _cons         __000004         __000005            _cons            _cons
r1         1.969289         .6472386         2.740946         1.729356         .5551502         4734.764         .2660081
------------------------------------------------------------------------------

ARCH family regression

Sample: 745 - 807                                  Number of obs   =        63
Distribution: t                                    Wald chi2(7)    =     14.01
Log pseudolikelihood =  195.4558                   Prob > chi2     =    0.0510

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012J |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012J       |
 dummy_eventday |   .0070248   .0052425     1.34   0.180    -.0032502    .0172999
dummy_daybefore |  -.0017111   .0057654    -0.30   0.767    -.0130112    .0095889
 dummy_dayafter |   .0023606   .0069412     0.34   0.734    -.0112439    .0159652
           reSP |  -.1265001   .1754098    -0.72   0.471    -.4702969    .2172967
          reLib |  -.0480667   .0485489    -0.99   0.322    -.1432208    .0470874
        reTnote |   .1700682   .1388017     1.23   0.220    -.1019782    .4421145
           reCR |   .4231377   .2946742     1.44   0.151    -.1544131    1.000688
          reBDI |   .1079909   .0771847     1.40   0.162    -.0432883    .2592701
      reCL2012J |  -.1320112   .1859182    -0.71   0.478    -.4964043    .2323818
          _cons |   .0001023   .0017222     0.06   0.953    -.0032731    .0034778
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.12e-17   .1479552    -0.00   1.000    -.2899869    .2899869
                |
          garch |
            L1. |  -6.11e-17          .        .       .            .           .
                |
          _cons |   .0001173   .0000288     4.07   0.000     .0000609    .0001736
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   .9554523     3.49   0.000     1.459552    5.204857
----------------+----------------------------------------------------------------
             df |         30   26.75266                      6.304033    184.1547
---------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)

 ( 1)  [reNG2012J]dummy_eventday = 0

           chi2(  1) =    1.80
         Prob > chi2 =    0.1803

 ( 1)  [reNG2012J]dummy_daybefore = 0

           chi2(  1) =    0.09
         Prob > chi2 =    0.7666

 ( 1)  [reNG2012J]dummy_dayafter = 0

           chi2(  1) =    0.12
         Prob > chi2 =    0.7338
(note: file C:/yourdirectory/temp_garch.dta not found)
file C:/yourdirectory/temp_garch.dta saved
(752 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010N |     60    0.98132      1.015     0.033    0.48701
resid_~2010Q |     60    0.98636      0.742    -0.645    0.74038
resid_~2010U |     60    0.98395      0.873    -0.294    0.61549
resid_~2010V |     60    0.98055      1.057     0.120    0.45209
resid_~2010X |     60    0.97771      1.212     0.414    0.33956
resid_~2010Z |     60    0.97453      1.384     0.701    0.24160
resid_~2011F |     60    0.97249      1.495     0.867    0.19288
resid_~2011G |     60    0.97125      1.563     0.962    0.16799
resid_~2011H |     60    0.97401      1.413     0.745    0.22814
resid_~2011J |     60    0.98006      1.084     0.174    0.43105
resid_~2011K |     60    0.98031      1.070     0.146    0.44182
resid_~2011M |     60    0.98007      1.083     0.172    0.43168
resid_~2011N |     60    0.98061      1.054     0.113    0.45485
resid_~2011Q |     60    0.98054      1.058     0.121    0.45184
resid_~2011U |     60    0.98092      1.037     0.078    0.46884
resid_~2011V |     60    0.98224      0.965    -0.076    0.53047
resid_~2011X |     60    0.98561      0.782    -0.530    0.70200
resid_~2011Z |     60    0.98788      0.659    -0.899    0.81566
resid_~2012F |     60    0.98902      0.597    -1.112    0.86684
resid_~2012G |     60    0.99002      0.542    -1.319    0.90637
resid_~2012H |     60    0.99031      0.527    -1.381    0.91643
resid_~2012J |     60    0.98381      0.880    -0.275    0.60831
Jarque-Bera normality test:  .0575 Chi(2)  .9716
Jarque-Bera test for Ho: normality: (resid_NG_2010N)
Jarque-Bera normality test:  .1662 Chi(2)  .9203
Jarque-Bera test for Ho: normality: (resid_NG_2010Q)
Jarque-Bera normality test:  .4441 Chi(2)  .8009
Jarque-Bera test for Ho: normality: (resid_NG_2010U)
Jarque-Bera normality test:   .563 Chi(2)  .7547
Jarque-Bera test for Ho: normality: (resid_NG_2010V)
Jarque-Bera normality test:  .6663 Chi(2)  .7167
Jarque-Bera test for Ho: normality: (resid_NG_2010X)
Jarque-Bera normality test:  .6264 Chi(2)  .7311
Jarque-Bera test for Ho: normality: (resid_NG_2010Z)
Jarque-Bera normality test:  .6319 Chi(2)  .7291
Jarque-Bera test for Ho: normality: (resid_NG_2011F)
Jarque-Bera normality test:  .5927 Chi(2)  .7435
Jarque-Bera test for Ho: normality: (resid_NG_2011G)
Jarque-Bera normality test:  .5328 Chi(2)  .7661
Jarque-Bera test for Ho: normality: (resid_NG_2011H)
Jarque-Bera normality test:  .5361 Chi(2)  .7649
Jarque-Bera test for Ho: normality: (resid_NG_2011J)
Jarque-Bera normality test:  .5781 Chi(2)   .749
Jarque-Bera test for Ho: normality: (resid_NG_2011K)
Jarque-Bera normality test:  .5791 Chi(2)  .7486
Jarque-Bera test for Ho: normality: (resid_NG_2011M)
Jarque-Bera normality test:  .5661 Chi(2)  .7535
Jarque-Bera test for Ho: normality: (resid_NG_2011N)
Jarque-Bera normality test:  .5778 Chi(2)  .7491
Jarque-Bera test for Ho: normality: (resid_NG_2011Q)
Jarque-Bera normality test:  .5545 Chi(2)  .7579
Jarque-Bera test for Ho: normality: (resid_NG_2011U)
Jarque-Bera normality test:  .5627 Chi(2)  .7548
Jarque-Bera test for Ho: normality: (resid_NG_2011V)
Jarque-Bera normality test:  .6074 Chi(2)  .7381
Jarque-Bera test for Ho: normality: (resid_NG_2011X)
Jarque-Bera normality test:  .5641 Chi(2)  .7542
Jarque-Bera test for Ho: normality: (resid_NG_2011Z)
Jarque-Bera normality test:   .574 Chi(2)  .7505
Jarque-Bera test for Ho: normality: (resid_NG_2012F)
Jarque-Bera normality test:   .525 Chi(2)  .7691
Jarque-Bera test for Ho: normality: (resid_NG_2012G)
Jarque-Bera normality test:  .5625 Chi(2)  .7548
Jarque-Bera test for Ho: normality: (resid_NG_2012H)
Jarque-Bera normality test:  .8574 Chi(2)  .6513
Jarque-Bera test for Ho: normality: (resid_NG_2012J)
file C:/yourdirectory/output/graham_resids_NG_garch_2mo.dta saved
(752 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_NG_garch_2mo.dta saved
(814 observations deleted)
(note: j = 201007 201008 201009 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110
>  201111 201112 201201 201202 201203 201204)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      22
Number of variables                 199   ->      11
j variable (22 values)                    ->   contract
xij variables:
b_NG_garch_Day201007 b_NG_garch_Day201008 ... b_NG_garch_Day201204->b_NG_garch_Day
se_NG_garch_Day201007 se_NG_garch_Day201008 ... se_NG_garch_Day201204->se_NG_garch_Day
p_NG_garch_Day201007 p_NG_garch_Day201008 ... p_NG_garch_Day201204->p_NG_garch_Day
b_NG_garch_Before201007 b_NG_garch_Before201008 ... b_NG_garch_Before201204->b_NG_garch_Before
se_NG_garch_Before201007 se_NG_garch_Before201008 ... se_NG_garch_Before201204->se_NG_garch_Before
p_NG_garch_Before201007 p_NG_garch_Before201008 ... p_NG_garch_Before201204->p_NG_garch_Before
b_NG_garch_After201007 b_NG_garch_After201008 ... b_NG_garch_After201204->b_NG_garch_After
se_NG_garch_After201007 se_NG_garch_After201008 ... se_NG_garch_After201204->se_NG_garch_After
p_NG_garch_After201007 p_NG_garch_After201008 ... p_NG_garch_After201204->p_NG_garch_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_NG_garch.dta not found)
file C:/yourdirectory/output/coeffs_NG_garch.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(12461 observations deleted)
(5232 observations deleted)
(11146 observations deleted)
(848 observations deleted)
(4727 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(1010 real changes made)
(63 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.77
       Model |  .006825827     6  .001137638           Prob > F      =  0.1214
    Residual |  .035933717    56  .000641674           R-squared     =  0.1596
-------------+------------------------------           Adj R-squared =  0.0696
       Total |  .042759544    62   .00068967           Root MSE      =  .02533

------------------------------------------------------------------------------
   reNG2010N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.2066244   .3690631    -0.56   0.578    -.9459466    .5326979
       reLib |  -.1847859   .1970483    -0.94   0.352    -.5795211    .2099492
     reTnote |   .4382679   .2615653     1.68   0.099    -.0857104    .9622463
        reCR |   1.916457   .7591622     2.52   0.014     .3956725    3.437242
       reBDI |   .0713902   .1405708     0.51   0.614    -.2102068    .3529873
   reCL2010N |  -1.085752   .4345835    -2.50   0.015    -1.956327   -.2151766
       _cons |   .0021237   .0039812     0.53   0.596    -.0058516     .010099
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(496 observations deleted)
(105 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.57
       Model |  .005672192     6  .000945365           Prob > F      =  0.1736
    Residual |  .033763959    56  .000602928           R-squared     =  0.1438
-------------+------------------------------           Adj R-squared =  0.0521
       Total |  .039436151    62  .000636067           Root MSE      =  .02455

------------------------------------------------------------------------------
   reNG2010Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1471261   .3573154    -0.41   0.682    -.8629148    .5686626
       reLib |  -.1687672   .1920379    -0.88   0.383    -.5534654    .2159309
     reTnote |   .3816402    .252209     1.51   0.136    -.1235951    .8868756
        reCR |   1.785131   .7551163     2.36   0.022     .2724516    3.297811
       reBDI |   .0692604   .1366263     0.51   0.614    -.2044349    .3429558
   reCL2010Q |  -1.020672   .4460096    -2.29   0.026    -1.914136   -.1272073
       _cons |   .0019215   .0038767     0.50   0.622    -.0058445    .0096876
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(496 observations deleted)
(128 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.39
       Model |  .004778408     6  .000796401           Prob > F      =  0.2338
    Residual |  .032029943    56  .000571963           R-squared     =  0.1298
-------------+------------------------------           Adj R-squared =  0.0366
       Total |  .036808351    62  .000593683           Root MSE      =  .02392

------------------------------------------------------------------------------
   reNG2010U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1344052   .3483606    -0.39   0.701    -.8322553    .5634449
       reLib |  -.1440233   .1861197    -0.77   0.442    -.5168659    .2288193
     reTnote |    .353608   .2449751     1.44   0.154    -.1371362    .8443522
        reCR |   1.594461    .726422     2.19   0.032     .1392629    3.049659
       reBDI |   .0619687   .1330981     0.47   0.643    -.2046589    .3285962
   reCL2010U |  -.9135426   .4366255    -2.09   0.041    -1.788209   -.0388767
       _cons |   .0016741   .0037748     0.44   0.659    -.0058876    .0092359
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(496 observations deleted)
(149 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.24
       Model |  .003935813     6  .000655969           Prob > F      =  0.2997
    Residual |  .029602286    56  .000528612           R-squared     =  0.1174
-------------+------------------------------           Adj R-squared =  0.0228
       Total |  .033538099    62  .000540937           Root MSE      =  .02299

------------------------------------------------------------------------------
   reNG2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1234844   .3350839    -0.37   0.714    -.7947382    .5477693
       reLib |  -.1148585   .1772382    -0.65   0.520    -.4699093    .2401924
     reTnote |    .323436   .2354077     1.37   0.175    -.1481423    .7950143
        reCR |   1.411663   .6891988     2.05   0.045     .0310323    2.792294
       reBDI |   .0611278   .1278422     0.48   0.634    -.1949708    .3172264
   reCL2010V |  -.8063768   .4191134    -1.92   0.059    -1.645962    .0332083
       _cons |   .0012504   .0036214     0.35   0.731    -.0060041    .0085049
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(496 observations deleted)
(170 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.17
       Model |  .002632954     6  .000438826           Prob > F      =  0.3353
    Residual |  .020997347    56  .000374953           R-squared     =  0.1114
-------------+------------------------------           Adj R-squared =  0.0162
       Total |  .023630301    62  .000381134           Root MSE      =  .01936

------------------------------------------------------------------------------
   reNG2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0931265   .2822882    -0.33   0.743    -.6586178    .4723648
       reLib |   -.077211   .1481097    -0.52   0.604    -.3739104    .2194885
     reTnote |   .2766431   .1982532     1.40   0.168    -.1205058     .673792
        reCR |   1.012162   .5752902     1.76   0.084    -.1402828    2.164607
       reBDI |   .0758934   .1076265     0.71   0.484    -.1397085    .2914953
   reCL2010X |  -.5441338   .3530161    -1.54   0.129     -1.25131    .1630425
       _cons |   .0006915   .0030449     0.23   0.821    -.0054081    .0067912
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(496 observations deleted)
(744 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.14
       Model |  .001857716     6  .000309619           Prob > F      =  0.3534
    Residual |  .015255756    56  .000272424           R-squared     =  0.1086
-------------+------------------------------           Adj R-squared =  0.0130
       Total |  .017113472    62  .000276024           Root MSE      =  .01651

------------------------------------------------------------------------------
   reNG2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0769324   .2407079    -0.32   0.750    -.5591284    .4052635
       reLib |  -.0645719   .1256989    -0.51   0.609    -.3163771    .1872332
     reTnote |   .2402654   .1689598     1.42   0.161    -.0982017    .5787324
        reCR |   .7392356   .4864626     1.52   0.134    -.2352661    1.713737
       reBDI |   .0789352   .0917278     0.86   0.393    -.1048177    .2626881
   reCL2010Z |  -.3779434   .3019537    -1.25   0.216    -.9828293    .2269425
       _cons |   .0003514   .0025932     0.14   0.893    -.0048433    .0055462
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(267 observations deleted)
(212 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.16
       Model |  .001700049     6  .000283341           Prob > F      =  0.3422
    Residual |  .013710908    56  .000244838           R-squared     =  0.1103
-------------+------------------------------           Adj R-squared =  0.0150
       Total |  .015410957    62  .000248564           Root MSE      =  .01565

------------------------------------------------------------------------------
   reNG2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0870178    .228218    -0.38   0.704    -.5441934    .3701578
       reLib |  -.0605649   .1187209    -0.51   0.612    -.2983915    .1772617
     reTnote |   .2317151   .1601859     1.45   0.154    -.0891758    .5526061
        reCR |   .6852374   .4565435     1.50   0.139    -.2293292    1.599804
       reBDI |   .0764728   .0869395     0.88   0.383     -.097688    .2506336
   reCL2011F |  -.3360868   .2855619    -1.18   0.244    -.9081359    .2359624
       _cons |   .0002151   .0024567     0.09   0.931    -.0047063    .0051364
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(288 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.12
       Model |  .001622226     6  .000270371           Prob > F      =  0.3632
    Residual |  .013531469    56  .000241633           R-squared     =  0.1071
-------------+------------------------------           Adj R-squared =  0.0114
       Total |  .015153695    62  .000244414           Root MSE      =  .01554

------------------------------------------------------------------------------
   reNG2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0954418   .2266676    -0.42   0.675    -.5495116     .358628
       reLib |  -.0581267   .1175434    -0.49   0.623    -.2935945    .1773411
     reTnote |   .2324114   .1591767     1.46   0.150    -.0864579    .5512807
        reCR |   .6230313   .4488418     1.39   0.171    -.2761069    1.522169
       reBDI |   .0773581    .086325     0.90   0.374    -.0955718    .2502879
   reCL2011G |  -.2936898   .2828308    -1.04   0.304    -.8602679    .2728884
       _cons |   .0001663   .0024385     0.07   0.946    -.0047186    .0050512
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(307 observations deleted)
(255 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.12
       Model |  .001610487     6  .000268414           Prob > F      =  0.3601
    Residual |  .013366796    56  .000238693           R-squared     =  0.1075
-------------+------------------------------           Adj R-squared =  0.0119
       Total |  .014977283    62  .000241569           Root MSE      =  .01545

------------------------------------------------------------------------------
   reNG2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1017885   .2252638    -0.45   0.653    -.5530461    .3494691
       reLib |  -.0524889   .1166926    -0.45   0.655    -.2862523    .1812745
     reTnote |    .235512   .1582318     1.49   0.142    -.0814644    .5524883
        reCR |   .5717714   .4423048     1.29   0.201    -.3142716    1.457814
       reBDI |   .0795712   .0857621     0.93   0.357    -.0922308    .2513733
   reCL2011H |  -.2554053   .2808108    -0.91   0.367    -.8179369    .3071263
       _cons |    .000134   .0024246     0.06   0.956    -.0047231     .004991
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(330 observations deleted)
(275 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.21
       Model |  .001544675     6  .000257446           Prob > F      =  0.3126
    Residual |  .011870331    56   .00021197           R-squared     =  0.1151
-------------+------------------------------           Adj R-squared =  0.0203
       Total |  .013415006    62  .000216371           Root MSE      =  .01456

------------------------------------------------------------------------------
   reNG2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1028127   .2122836    -0.48   0.630    -.5280678    .3224424
       reLib |  -.0484101   .1096892    -0.44   0.661     -.268144    .1713239
     reTnote |   .2293959   .1491004     1.54   0.130     -.069288    .5280799
        reCR |   .4671809   .4132123     1.13   0.263    -.3605829    1.294945
       reBDI |   .0877705   .0807637     1.09   0.282    -.0740187    .2495596
   reCL2011J |  -.1779651   .2644027    -0.67   0.504    -.7076273    .3516971
       _cons |   .0003081    .002284     0.13   0.893    -.0042673    .0048835
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(350 observations deleted)
(295 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.20
       Model |  .001490271     6  .000248378           Prob > F      =  0.3210
    Residual |  .011611251    56  .000207344           R-squared     =  0.1137
-------------+------------------------------           Adj R-squared =  0.0188
       Total |  .013101521    62  .000211315           Root MSE      =   .0144

------------------------------------------------------------------------------
   reNG2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1068787   .2099602    -0.51   0.613    -.5274796    .3137222
       reLib |  -.0503498   .1083335    -0.46   0.644     -.267368    .1666683
     reTnote |   .2250715   .1474269     1.53   0.132      -.07026    .5204031
        reCR |   .4489911   .4052816     1.11   0.273    -.3628856    1.260868
       reBDI |   .0894017   .0798391     1.12   0.268    -.0705352    .2493387
   reCL2011K |  -.1657479   .2609897    -0.64   0.528     -.688573    .3570773
       _cons |    .000396   .0022593     0.18   0.861    -.0041298    .0049219
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(371 observations deleted)
(317 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.19
       Model |  .001437469     6  .000239578           Prob > F      =  0.3255
    Residual |  .011283046    56  .000201483           R-squared     =  0.1130
-------------+------------------------------           Adj R-squared =  0.0180
       Total |  .012720515    62   .00020517           Root MSE      =  .01419

------------------------------------------------------------------------------
   reNG2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1144274   .2069645    -0.55   0.583    -.5290271    .3001722
       reLib |  -.0505357   .1066378    -0.47   0.637    -.2641568    .1630854
     reTnote |   .2198326   .1453043     1.51   0.136    -.0712468    .5109121
        reCR |   .4267423   .3965238     1.08   0.286    -.3675903    1.221075
       reBDI |   .0906973   .0786556     1.15   0.254    -.0668688    .2482633
   reCL2011M |  -.1450942   .2566633    -0.57   0.574    -.6592525    .3690642
       _cons |   .0004044   .0022273     0.18   0.857    -.0040574    .0048663
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(393 observations deleted)
(338 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.21
       Model |  .001408118     6  .000234686           Prob > F      =  0.3167
    Residual |  .010893312    56  .000194523           R-squared     =  0.1145
-------------+------------------------------           Adj R-squared =  0.0196
       Total |   .01230143    62   .00019841           Root MSE      =  .01395

------------------------------------------------------------------------------
   reNG2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1135638    .203365    -0.56   0.579    -.5209529    .2938254
       reLib |  -.0521313   .1045109    -0.50   0.620    -.2614917    .1572291
     reTnote |   .2142781    .142739     1.50   0.139    -.0716624    .5002186
        reCR |   .4194277   .3855889     1.09   0.281    -.3529996    1.191855
       reBDI |   .0921058   .0772473     1.19   0.238    -.0626391    .2468507
   reCL2011N |  -.1395071   .2507277    -0.56   0.580     -.641775    .3627609
       _cons |   .0004403    .002187     0.20   0.841    -.0039408    .0048214
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(413 observations deleted)
(358 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.18
       Model |  .001355519     6   .00022592           Prob > F      =  0.3283
    Residual |  .010688805    56  .000190872           R-squared     =  0.1125
-------------+------------------------------           Adj R-squared =  0.0175
       Total |  .012044324    62  .000194263           Root MSE      =  .01382

------------------------------------------------------------------------------
   reNG2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1087298    .201453    -0.54   0.592    -.5122887    .2948291
       reLib |   -.052214   .1032814    -0.51   0.615    -.2591115    .1546836
     reTnote |    .208593    .141353     1.48   0.146    -.0745711    .4917571
        reCR |   .4121005   .3779487     1.09   0.280    -.3450218    1.169223
       reBDI |   .0917754    .076488     1.20   0.235    -.0614485    .2449993
   reCL2011Q |  -.1402417     .24704    -0.57   0.573    -.6351223    .3546388
       _cons |   .0004065   .0021634     0.19   0.852    -.0039274    .0047404
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(436 observations deleted)
(381 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.16
       Model |  .001317734     6  .000219622           Prob > F      =  0.3391
    Residual |  .010574857    56  .000188837           R-squared     =  0.1108
-------------+------------------------------           Adj R-squared =  0.0155
       Total |  .011892591    62  .000191816           Root MSE      =  .01374

------------------------------------------------------------------------------
   reNG2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1093749   .2003946    -0.55   0.587    -.5108135    .2920637
       reLib |  -.0533698   .1025082    -0.52   0.605    -.2587183    .1519788
     reTnote |   .2056799   .1405473     1.46   0.149    -.0758702      .48723
        reCR |   .4099201   .3722157     1.10   0.275    -.3357175    1.155558
       reBDI |   .0910535   .0760508     1.20   0.236    -.0612947    .2434016
   reCL2011U |  -.1419684   .2446353    -0.58   0.564    -.6320319     .348095
       _cons |   .0004027   .0021487     0.19   0.852    -.0039017    .0047071
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(457 observations deleted)
(401 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.16
       Model |  .001260289     6  .000210048           Prob > F      =  0.3402
    Residual |  .010131866    56  .000180926           R-squared     =  0.1106
-------------+------------------------------           Adj R-squared =  0.0153
       Total |  .011392155    62  .000183744           Root MSE      =  .01345

------------------------------------------------------------------------------
   reNG2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1031023    .196186    -0.53   0.601    -.4961101    .2899055
       reLib |  -.0512031   .1000425    -0.51   0.611    -.2516123     .149206
     reTnote |   .1966834   .1375166     1.43   0.158    -.0787956    .4721623
        reCR |   .3967369   .3608306     1.10   0.276    -.3260936    1.119567
       reBDI |   .0897438   .0744172     1.21   0.233    -.0593318    .2388194
   reCL2011V |  -.1341703   .2384172    -0.56   0.576    -.6117773    .3434367
       _cons |   .0003171   .0020991     0.15   0.880    -.0038879    .0045221
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(478 observations deleted)
(423 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.18
       Model |  .001117797     6  .000186299           Prob > F      =  0.3280
    Residual |  .008809967    56  .000157321           R-squared     =  0.1126
-------------+------------------------------           Adj R-squared =  0.0175
       Total |  .009927764    62  .000160125           Root MSE      =  .01254

------------------------------------------------------------------------------
   reNG2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0974053   .1829565    -0.53   0.597    -.4639112    .2691005
       reLib |  -.0460021   .0930719    -0.49   0.623    -.2324474    .1404432
     reTnote |   .1775986   .1282114     1.39   0.171    -.0792397    .4344369
        reCR |   .3814343   .3330582     1.15   0.257    -.2857615     1.04863
       reBDI |    .090938   .0693835     1.31   0.195     -.048054    .2299299
   reCL2011X |   -.126862   .2211813    -0.57   0.569    -.5699414    .3162174
       _cons |   .0001889   .0019539     0.10   0.923    -.0037253    .0041032
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(499 observations deleted)
(748 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1011
                delta:  1 unit
(1010 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.24
       Model |  .001018239     6  .000169707           Prob > F      =  0.3014
    Residual |  .007679991    56  .000137143           R-squared     =  0.1171
-------------+------------------------------           Adj R-squared =  0.0225
       Total |   .00869823    62  .000140294           Root MSE      =  .01171

------------------------------------------------------------------------------
   reNG2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0986376   .1708349    -0.58   0.566    -.4408611    .2435859
       reLib |  -.0416331    .086675    -0.48   0.633    -.2152639    .1319978
     reTnote |   .1636441   .1196835     1.37   0.177    -.0761108    .4033989
        reCR |   .3672969    .308335     1.19   0.239    -.2503724    .9849662
       reBDI |   .0884132   .0647705     1.37   0.178    -.0413377     .218164
   reCL2011Z |  -.1121437   .2058585    -0.54   0.588    -.5245279    .3002404
       _cons |   .0000599   .0018211     0.03   0.974    -.0035883    .0037081
------------------------------------------------------------------------------
(948 missing values generated)
(948 missing values generated)
(661 observations deleted)
(466 observations deleted)
(815 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.30
       Model |  .000987958     6   .00016466           Prob > F      =  0.2739
    Residual |  .007112168    56  .000127003           R-squared     =  0.1220
-------------+------------------------------           Adj R-squared =  0.0279
       Total |  .008100126    62  .000130647           Root MSE      =  .01127

------------------------------------------------------------------------------
   reNG2012F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0939246   .1643912    -0.57   0.570    -.4232398    .2353907
       reLib |  -.0436922   .0833499    -0.52   0.602    -.2106621    .1232777
     reTnote |   .1596543   .1151609     1.39   0.171    -.0710407    .3903493
        reCR |    .353434    .295976     1.19   0.237    -.2394771    .9463452
       reBDI |    .090064   .0623156     1.45   0.154    -.0347691     .214897
   reCL2012F |   -.107707   .1980655    -0.54   0.589    -.5044799     .289066
       _cons |   .0000175   .0017516     0.01   0.992    -.0034913    .0035264
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)
(485 observations deleted)
(486 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.30
       Model |  .000989824     6  .000164971           Prob > F      =  0.2733
    Residual |   .00711762    56    .0001271           R-squared     =  0.1221
-------------+------------------------------           Adj R-squared =  0.0280
       Total |  .008107444    62  .000130765           Root MSE      =  .01127

------------------------------------------------------------------------------
   reNG2012G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.0983909   .1644215    -0.60   0.552    -.4277666    .2309849
       reLib |  -.0414465   .0833107    -0.50   0.621    -.2083378    .1254448
     reTnote |   .1579709   .1152028     1.37   0.176    -.0728081    .3887498
        reCR |   .3639095   .2956331     1.23   0.223    -.2283149    .9561338
       reBDI |    .090443   .0623242     1.45   0.152    -.0344073    .2152934
   reCL2012G |  -.1105266   .1983675    -0.56   0.580    -.5079045    .2868513
       _cons |  -.0000694   .0017514    -0.04   0.969    -.0035779     .003439
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)
(505 observations deleted)
(507 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.32
       Model |  .001039479     6  .000173246           Prob > F      =  0.2650
    Residual |  .007367467    56  .000131562           R-squared     =  0.1236
-------------+------------------------------           Adj R-squared =  0.0298
       Total |  .008406946    62  .000135596           Root MSE      =  .01147

------------------------------------------------------------------------------
   reNG2012H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   -.104178   .1672529    -0.62   0.536    -.4392257    .2308698
       reLib |  -.0407021   .0847396    -0.48   0.633    -.2104559    .1290516
     reTnote |   .1643253   .1171962     1.40   0.166    -.0704468    .3990975
        reCR |   .3595215    .300331     1.20   0.236    -.2421138    .9611569
       reBDI |   .0923527   .0634004     1.46   0.151    -.0346535     .219359
   reCL2012H |   -.102902    .202078    -0.51   0.613    -.5077129     .301909
       _cons |  -.0000296   .0017818    -0.02   0.987    -.0035989    .0035397
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)
(527 observations deleted)
(527 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 815
                delta:  1 unit
(814 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =      63
-------------+------------------------------           F(  6,    56) =    1.32
       Model |  .001049448     6  .000174908           Prob > F      =  0.2647
    Residual |  .007435515    56  .000132777           R-squared     =  0.1237
-------------+------------------------------           Adj R-squared =  0.0298
       Total |  .008484963    62  .000136854           Root MSE      =  .01152

------------------------------------------------------------------------------
   reNG2012J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |  -.1259765   .1680085    -0.75   0.457     -.462538     .210585
       reLib |  -.0420845    .085072    -0.49   0.623    -.2125041    .1283351
     reTnote |   .1658288   .1177245     1.41   0.164    -.0700017    .4016594
        reCR |   .3881654   .3011873     1.29   0.203    -.2151854    .9915161
       reBDI |      .0942   .0636803     1.48   0.145    -.0333669     .221767
   reCL2012J |  -.1115236    .203427    -0.55   0.586    -.5190368    .2959897
       _cons |   .0001339   .0017895     0.07   0.941    -.0034509    .0037187
------------------------------------------------------------------------------
(752 missing values generated)
(752 missing values generated)
(note: file C:/yourdirectory/temp_compositeindex.dta not found)
file C:/yourdirectory/temp_compositeindex.dta saved
file C:/yourdirectory/output/graham_coeffs_NG_2mo.dta saved
file C:/yourdirectory/output/graham_coeffs_NG_2mo.dta saved
(results base_NG_2010N are active now)
(results nocovar_NG_2010N are active now)
(results garch_NG_2010N are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2010N.tex
dir : seeout
(results base_NG_2010Q are active now)
(results nocovar_NG_2010Q are active now)
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C:/yourdirectory/output/tex/graham/2mo/NG_2010Q.tex
dir : seeout
(results base_NG_2010U are active now)
(results nocovar_NG_2010U are active now)
(results garch_NG_2010U are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2010U.tex
dir : seeout
(results base_NG_2010V are active now)
(results nocovar_NG_2010V are active now)
(results garch_NG_2010V are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2010V.tex
dir : seeout
(results base_NG_2010X are active now)
(results nocovar_NG_2010X are active now)
(results garch_NG_2010X are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2010X.tex
dir : seeout
(results base_NG_2010Z are active now)
(results nocovar_NG_2010Z are active now)
(results garch_NG_2010Z are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2010Z.tex
dir : seeout
(results base_NG_2011F are active now)
(results nocovar_NG_2011F are active now)
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C:/yourdirectory/output/tex/graham/2mo/NG_2011F.tex
dir : seeout
(results base_NG_2011G are active now)
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C:/yourdirectory/output/tex/graham/2mo/NG_2011G.tex
dir : seeout
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C:/yourdirectory/output/tex/graham/2mo/NG_2011H.tex
dir : seeout
(results base_NG_2011J are active now)
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dir : seeout
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dir : seeout
(results base_NG_2011Z are active now)
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dir : seeout
(results base_NG_2012F are active now)
(results nocovar_NG_2012F are active now)
(results garch_NG_2012F are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2012F.tex
dir : seeout
(results base_NG_2012G are active now)
(results nocovar_NG_2012G are active now)
(results garch_NG_2012G are active now)
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dir : seeout
(results base_NG_2012H are active now)
(results nocovar_NG_2012H are active now)
(results garch_NG_2012H are active now)
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dir : seeout
(results base_NG_2012J are active now)
(results nocovar_NG_2012J are active now)
(results garch_NG_2012J are active now)
C:/yourdirectory/output/tex/graham/2mo/NG_2012J.tex
dir : seeout
(752 observations deleted)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.29
                                                      Prob > F      =   0.8355
Total (centered) SS     =  58.06855166                Centered R2   =   0.0161
Total (uncentered) SS   =  58.06855166                Uncentered R2 =   0.0161
Residual SS             =  57.13380019                Root MSE      =    .9841

---------------------------------------------------------------------------------
    mean_resids |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .5389429    .998052     0.54   0.591    -1.458154     2.53604
dummy_daybefore |   .6052106   .9987168     0.61   0.547    -1.393217    2.603638
 dummy_dayafter |   .5697717   .9987168     0.57   0.571    -1.428656    2.568199
          _cons |  -.0272052   .0950784    -0.29   0.776    -.2174566    .1630463
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.29
            Prob > F =    0.5912

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.37
            Prob > F =    0.5468

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.33
            Prob > F =    0.5705

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    19
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =       63
                                                      F(  3,    59) =     0.30
                                                      Prob > F      =   0.8232
Total (centered) SS     =  42.15608259                Centered R2   =   0.0145
Total (uncentered) SS   =  42.15608259                Uncentered R2 =   0.0145
Residual SS             =  41.54511145                Root MSE      =    .8391

---------------------------------------------------------------------------------
composite_ind~1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .6252591   .8478062     0.74   0.464    -1.071197    2.321715
dummy_daybefore |   .1527027   .8489045     0.18   0.858    -1.545951    1.851357
 dummy_dayafter |   .4705826   .8489045     0.55   0.581    -1.228071    2.169237
          _cons |  -.0198182   .0855759    -0.23   0.818    -.1910552    .1514188
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,    59) =    0.54
            Prob > F =    0.4637

 ( 1)  dummy_daybefore = 0

       F(  1,    59) =    0.03
            Prob > F =    0.8579

 ( 1)  dummy_dayafter = 0

       F(  1,    59) =    0.31
            Prob > F =    0.5814
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
composite_~1 |     60    0.98755      0.677    -0.842    0.80007
Jarque-Bera normality test:  1.271 Chi(2)  .5297
Jarque-Bera test for Ho: normality: (composite_index)
file C:/yourdirectory/output/graham_kdensity_NG_compositeindex_2mo.dta saved
file C:/yourdirectory/output/graham_resids_NG_compositeindex_2mo.dta saved
file C:/yourdirectory/output/graham_kdensity_NG_compositeindex_2mo.dta saved
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(13148 observations deleted)
(5893 observations deleted)
(11810 observations deleted)
(1013 observations deleted)
(5144 observations deleted)
(427 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(736 real changes made)
(203 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.408388

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     6.74
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0212614116                Centered R2   =   0.2418
Total (uncentered) SS   =  .0212626791                Uncentered R2 =   0.2418
Residual SS             =  .0161214322                Root MSE      =   .00914

---------------------------------------------------------------------------------
      reQL2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0177175   .0093852     1.89   0.061    -.0007932    .0362282
dummy_daybefore |   .0161621   .0094948     1.70   0.090    -.0025648    .0348889
 dummy_dayafter |  -.0004787   .0095951    -0.05   0.960    -.0194034     .018446
           reSP |   .1163718   .0751338     1.55   0.123     -.031817    .2645606
          reLib |   .1015812   .0486884     2.09   0.038     .0055514     .197611
        reTnote |  -.1707749   .0423441    -4.03   0.000    -.2542915   -.0872583
           reCR |   .4983672   .1227682     4.06   0.000     .2562276    .7405069
          reBDI |   -.038591    .030762    -1.25   0.211    -.0992639    .0220818
      reCL2010V |  -.0691525   .0800229    -0.86   0.389    -.2269841    .0886791
          _cons |  -.0006462   .0008367    -0.77   0.441    -.0022965    .0010041
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010V
------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    3.56
            Prob > F =    0.0606

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.90
            Prob > F =    0.0903

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.00
            Prob > F =    0.9603
(104 observations deleted)
(444 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.394675

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     6.75
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0210659638                Centered R2   =   0.2426
Total (uncentered) SS   =  .0210662298                Uncentered R2 =   0.2426
Residual SS             =  .0159547778                Root MSE      =  .009092

---------------------------------------------------------------------------------
      reQL2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0176182   .0093314     1.89   0.061    -.0007865    .0360229
dummy_daybefore |   .0161655   .0094582     1.71   0.089    -.0024892    .0348201
 dummy_dayafter |   -.000207   .0095689    -0.02   0.983    -.0190801    .0186661
           reSP |   .1224986   .0747962     1.64   0.103    -.0250244    .2700216
          reLib |   .0995314   .0470681     2.11   0.036     .0066974    .1923654
        reTnote |  -.1690935   .0420803    -4.02   0.000    -.2520898   -.0860971
           reCR |   .5072283   .1237193     4.10   0.000     .2632128    .7512439
          reBDI |  -.0396053   .0303474    -1.31   0.193    -.0994606    .0202499
      reCL2010X |  -.0806541   .0823971    -0.98   0.329    -.2431686    .0818603
          _cons |  -.0005355    .000787    -0.68   0.497    -.0020876    .0010167
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010X
------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    3.56
            Prob > F =    0.0605

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.92
            Prob > F =    0.0890

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.00
            Prob > F =    0.9828
(124 observations deleted)
(1018 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.378416

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     6.78
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0206221198                Centered R2   =   0.2438
Total (uncentered) SS   =  .0206244851                Uncentered R2 =   0.2439
Residual SS             =  .0155949884                Root MSE      =  .008989

---------------------------------------------------------------------------------
      reQL2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0175444   .0092235     1.90   0.059    -.0006473    .0357362
dummy_daybefore |   .0161263   .0093622     1.72   0.087     -.002339    .0345916
 dummy_dayafter |   .0001129   .0094756     0.01   0.991     -.018576    .0188019
           reSP |   .1245935   .0734919     1.70   0.092    -.0203569    .2695439
          reLib |   .0979345   .0459343     2.13   0.034     .0073368    .1885323
        reTnote |   -.161529   .0414738    -3.89   0.000    -.2433291   -.0797289
           reCR |    .511766   .1233429     4.15   0.000     .2684929    .7550391
          reBDI |  -.0406263    .029982    -1.36   0.177    -.0997608    .0185082
      reCL2010Z |  -.0894585   .0838288    -1.07   0.287    -.2547967    .0758798
          _cons |  -.0004568    .000756    -0.60   0.546    -.0019478    .0010343
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010Z
------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    3.62
            Prob > F =    0.0586

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.97
            Prob > F =    0.0866

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.00
            Prob > F =    0.9905
(223 observations deleted)
(628 observations deleted)
(595 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.478828

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     6.42
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0167970347                Centered R2   =   0.2369
Total (uncentered) SS   =   .016797372                Uncentered R2 =   0.2369
Residual SS             =  .0128179522                Root MSE      =  .008149

---------------------------------------------------------------------------------
      reQL2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0160711   .0083693     1.92   0.056    -.0004359    .0325781
dummy_daybefore |   .0146235   .0084515     1.73   0.085    -.0020456    .0312926
 dummy_dayafter |   .0014739   .0085648     0.17   0.864    -.0154187    .0183665
           reSP |   .1422433   .0676597     2.10   0.037      .008796    .2756906
          reLib |   .0661677   .0419808     1.58   0.117    -.0166324    .1489678
        reTnote |  -.1262186   .0380975    -3.31   0.001    -.2013595   -.0510777
           reCR |    .459467   .1115342     4.12   0.000     .2394847    .6794494
          reBDI |  -.0413526   .0270217    -1.53   0.128    -.0946484    .0119431
      reCL2011F |  -.0989247   .0758733    -1.30   0.194    -.2485721    .0507227
          _cons |  -.0005412   .0006832    -0.79   0.429    -.0018888    .0008063
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011F
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    3.69
            Prob > F =    0.0563

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.99
            Prob > F =    0.0852

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.03
            Prob > F =    0.8635
(102 observations deleted)
(649 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.479713

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     6.43
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0167970347                Centered R2   =   0.2372
Total (uncentered) SS   =   .016797372                Uncentered R2 =   0.2372
Residual SS             =  .0128132241                Root MSE      =  .008148

---------------------------------------------------------------------------------
      reQL2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0160786   .0083679     1.92   0.056    -.0004256    .0325828
dummy_daybefore |   .0145954   .0084462     1.73   0.086    -.0020632    .0312541
 dummy_dayafter |   .0015323   .0085643     0.18   0.858    -.0153593    .0184239
           reSP |   .1430039   .0676752     2.11   0.036     .0095261    .2764818
          reLib |    .066099   .0419649     1.58   0.117    -.0166697    .1488677
        reTnote |  -.1267394   .0380932    -3.33   0.001    -.2018718    -.051607
           reCR |   .4610045   .1112215     4.14   0.000     .2416387    .6803702
          reBDI |   -.041441   .0270153    -1.53   0.127    -.0947242    .0118421
      reCL2011G |  -.1015643   .0764271    -1.33   0.185    -.2523039    .0491752
          _cons |  -.0005397   .0006826    -0.79   0.430    -.0018861    .0008067
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011G
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    3.69
            Prob > F =    0.0561

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.99
            Prob > F =    0.0856

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.03
            Prob > F =    0.8582
(121 observations deleted)
(671 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.480152

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     6.44
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0167970347                Centered R2   =   0.2376
Total (uncentered) SS   =   .016797372                Uncentered R2 =   0.2376
Residual SS             =   .012806766                Root MSE      =  .008146

---------------------------------------------------------------------------------
      reQL2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .016081   .0083658     1.92   0.056    -.0004191     .032581
dummy_daybefore |   .0145982   .0084427     1.73   0.085    -.0020536      .03125
 dummy_dayafter |   .0016125   .0085649     0.19   0.851    -.0152803    .0185053
           reSP |   .1437827   .0676518     2.13   0.035     .0103509    .2772144
          reLib |   .0659277     .04196     1.57   0.118    -.0168313    .1486867
        reTnote |   -.126808   .0380867    -3.33   0.001    -.2019275   -.0516884
           reCR |   .4629808   .1106684     4.18   0.000     .2447061    .6812555
          reBDI |  -.0414997   .0270075    -1.54   0.126    -.0947674     .011768
      reCL2011H |   -.104662   .0766808    -1.36   0.174     -.255902    .0465779
          _cons |  -.0005392   .0006823    -0.79   0.430    -.0018849    .0008065
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011H
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    3.69
            Prob > F =    0.0560

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.99
            Prob > F =    0.0854

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.04
            Prob > F =    0.8509
(144 observations deleted)
(691 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =   1.49204

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.95
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0151534447                Centered R2   =   0.2242
Total (uncentered) SS   =  .0151560623                Uncentered R2 =   0.2244
Residual SS             =  .0117556249                Root MSE      =  .007804

---------------------------------------------------------------------------------
      reQL2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0136061   .0080145     1.70   0.091    -.0022011    .0294133
dummy_daybefore |   .0131355   .0080943     1.62   0.106    -.0028291    .0291001
 dummy_dayafter |   .0009443   .0082252     0.11   0.909    -.0152785    .0171672
           reSP |   .1306572   .0647639     2.02   0.045     .0029214     .258393
          reLib |   .0536284    .038719     1.39   0.168    -.0227383     .129995
        reTnote |  -.1146751   .0365737    -3.14   0.002    -.1868106   -.0425397
           reCR |   .4149691   .1056974     3.93   0.000     .2064987    .6234395
          reBDI |  -.0353867   .0254634    -1.39   0.166     -.085609    .0148355
      reCL2011J |  -.0798527   .0735864    -1.09   0.279    -.2249895     .065284
          _cons |  -.0005393   .0005955    -0.91   0.366    -.0017138    .0006353
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011J
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    2.88
            Prob > F =    0.0912

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.63
            Prob > F =    0.1063

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.01
            Prob > F =    0.9087
(164 observations deleted)
(711 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =   1.49183

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.95
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0151534447                Centered R2   =   0.2243
Total (uncentered) SS   =  .0151560623                Uncentered R2 =   0.2245
Residual SS             =  .0117541928                Root MSE      =  .007804

---------------------------------------------------------------------------------
      reQL2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0136144   .0080142     1.70   0.091    -.0021923    .0294211
dummy_daybefore |   .0131365   .0080933     1.62   0.106    -.0028262    .0290992
 dummy_dayafter |    .000949   .0082235     0.12   0.908    -.0152705    .0171684
           reSP |   .1308842   .0647498     2.02   0.045     .0031761    .2585923
          reLib |   .0536037   .0387247     1.38   0.168    -.0227742    .1299816
        reTnote |  -.1147476   .0365723    -3.14   0.002    -.1868802   -.0426149
           reCR |   .4149191   .1050929     3.95   0.000      .207641    .6221972
          reBDI |  -.0353906   .0254652    -1.39   0.166    -.0856165    .0148353
      reCL2011K |  -.0808396   .0737606    -1.10   0.274    -.2263199    .0646408
          _cons |  -.0005389   .0005956    -0.90   0.367    -.0017137    .0006359
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011K
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    2.89
            Prob > F =    0.0910

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.63
            Prob > F =    0.1062

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.01
            Prob > F =    0.9083
(185 observations deleted)
(733 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.491454

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.96
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0151534447                Centered R2   =   0.2244
Total (uncentered) SS   =  .0151560623                Uncentered R2 =   0.2246
Residual SS             =  .0117523738                Root MSE      =  .007803

---------------------------------------------------------------------------------
      reQL2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0136215   .0080138     1.70   0.091    -.0021843    .0294274
dummy_daybefore |   .0131319   .0080917     1.62   0.106    -.0028276    .0290914
 dummy_dayafter |   .0009587   .0082211     0.12   0.907    -.0152561    .0171735
           reSP |   .1310266   .0647097     2.02   0.044     .0033976    .2586557
          reLib |   .0535673    .038732     1.38   0.168    -.0228251    .1299597
        reTnote |  -.1148182   .0365712    -3.14   0.002    -.1869487   -.0426877
           reCR |   .4151706   .1045732     3.97   0.000     .2089175    .6214236
          reBDI |  -.0354279   .0254699    -1.39   0.166    -.0856629    .0148072
      reCL2011M |  -.0819701   .0738842    -1.11   0.269    -.2276943    .0637541
          _cons |  -.0005389   .0005958    -0.90   0.367    -.0017141    .0006362
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011M
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    2.89
            Prob > F =    0.0908

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.63
            Prob > F =    0.1062

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.01
            Prob > F =    0.9073
(207 observations deleted)
(754 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.502389

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.40
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0130209711                Centered R2   =   0.2107
Total (uncentered) SS   =  .0130274396                Uncentered R2 =   0.2111
Residual SS             =  .0102779843                Root MSE      =  .007298

---------------------------------------------------------------------------------
      reQL2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0107687   .0074933     1.44   0.152    -.0040106     .025548
dummy_daybefore |   .0117203    .007575     1.55   0.123      -.00322    .0266607
 dummy_dayafter |   .0016292   .0077149     0.21   0.833    -.0135871    .0168455
           reSP |   .1124577   .0607198     1.85   0.066     -.007302    .2322173
          reLib |   .0475034   .0347553     1.37   0.173    -.0210455    .1160523
        reTnote |  -.1049165   .0342839    -3.06   0.003    -.1725357   -.0372972
           reCR |   .3603655   .0976582     3.69   0.000     .1677512    .5529799
          reBDI |  -.0303823   .0234112    -1.30   0.196    -.0765569    .0157923
      reCL2011N |  -.0553626   .0693003    -0.80   0.425    -.1920457    .0813206
          _cons |  -.0005458   .0004966    -1.10   0.273    -.0015252    .0004336
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011N
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    2.07
            Prob > F =    0.1523

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.39
            Prob > F =    0.1234

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.04
            Prob > F =    0.8330
(227 observations deleted)
(774 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.502045

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.40
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0130209711                Centered R2   =   0.2107
Total (uncentered) SS   =  .0130274396                Uncentered R2 =   0.2111
Residual SS             =  .0102778791                Root MSE      =  .007297

---------------------------------------------------------------------------------
      reQL2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0107791   .0074937     1.44   0.152    -.0040009     .025559
dummy_daybefore |   .0117133   .0075741     1.55   0.124    -.0032253    .0266519
 dummy_dayafter |    .001629   .0077137     0.21   0.833     -.013585     .016843
           reSP |   .1124691   .0607152     1.85   0.065    -.0072814    .2322196
          reLib |   .0474837   .0347591     1.37   0.174    -.0210728    .1160402
        reTnote |  -.1049679   .0342859    -3.06   0.003    -.1725912   -.0373447
           reCR |   .3598036   .0970309     3.71   0.000     .1684266    .5511807
          reBDI |  -.0303849   .0234137    -1.30   0.196    -.0765646    .0157948
      reCL2011Q |  -.0555001   .0693648    -0.80   0.425    -.1923104    .0813103
          _cons |  -.0005457   .0004966    -1.10   0.273    -.0015251    .0004338
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Q
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    2.07
            Prob > F =    0.1519

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.39
            Prob > F =    0.1236

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.04
            Prob > F =    0.8330
(250 observations deleted)
(797 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.501757

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.40
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0130209711                Centered R2   =   0.2107
Total (uncentered) SS   =  .0130274396                Uncentered R2 =   0.2111
Residual SS             =  .0102778215                Root MSE      =  .007297

---------------------------------------------------------------------------------
      reQL2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0107892   .0074941     1.44   0.152    -.0039916      .02557
dummy_daybefore |   .0117017   .0075729     1.55   0.124    -.0032345    .0266379
 dummy_dayafter |   .0016373   .0077147     0.21   0.832    -.0135787    .0168532
           reSP |   .1125358   .0607293     1.85   0.065    -.0072425    .2323141
          reLib |   .0474416   .0347629     1.36   0.174    -.0211224    .1160056
        reTnote |  -.1050407   .0342884    -3.06   0.003    -.1726688   -.0374126
           reCR |    .359293   .0964924     3.72   0.000      .168978    .5496081
          reBDI |  -.0304007   .0234173    -1.30   0.196    -.0765875    .0157861
      reCL2011U |  -.0556916   .0695326    -0.80   0.424    -.1928329    .0814498
          _cons |  -.0005456   .0004966    -1.10   0.273     -.001525    .0004339
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011U
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    2.07
            Prob > F =    0.1516

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.39
            Prob > F =    0.1239

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.05
            Prob > F =    0.8322
(271 observations deleted)
(817 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.513644

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.09
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0118488038                Centered R2   =   0.2021
Total (uncentered) SS   =  .0118572241                Uncentered R2 =   0.2027
Residual SS             =   .009454342                Root MSE      =  .006999

---------------------------------------------------------------------------------
      reQL2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0095088   .0071905     1.32   0.188    -.0046733    .0236908
dummy_daybefore |   .0114262   .0072797     1.57   0.118    -.0029318    .0257843
 dummy_dayafter |    .001989   .0074215     0.27   0.789    -.0126487    .0166267
           reSP |   .1045002   .0586124     1.78   0.076    -.0111029    .2201033
          reLib |   .0386619   .0324707     1.19   0.235    -.0253811    .1027049
        reTnote |  -.0918577   .0327784    -2.80   0.006    -.1565075   -.0272079
           reCR |   .3279411   .0922327     3.56   0.000     .1460276    .5098545
          reBDI |  -.0317528   .0223244    -1.42   0.157     -.075784    .0122783
      reCL2011V |   -.046998   .0671887    -0.70   0.485    -.1795164    .0855204
          _cons |  -.0005428   .0004318    -1.26   0.210    -.0013946    .0003089
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011V
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    1.75
            Prob > F =    0.1876

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.46
            Prob > F =    0.1181

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7890
(292 observations deleted)
(839 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.513272

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.09
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0118488038                Centered R2   =   0.2021
Total (uncentered) SS   =  .0118572241                Uncentered R2 =   0.2026
Residual SS             =  .0094544938                Root MSE      =  .006999

---------------------------------------------------------------------------------
      reQL2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .009513   .0071909     1.32   0.187    -.0046699    .0236958
dummy_daybefore |   .0114232   .0072796     1.57   0.118    -.0029346     .025781
 dummy_dayafter |    .001986   .0074214     0.27   0.789    -.0126515    .0166235
           reSP |   .1044846   .0586216     1.78   0.076    -.0111366    .2201057
          reLib |   .0386438   .0324741     1.19   0.236     -.025406    .1026936
        reTnote |  -.0919127   .0327811    -2.80   0.006    -.1565679   -.0272574
           reCR |   .3273481   .0917108     3.57   0.000     .1464639    .5082322
          reBDI |  -.0317396   .0223252    -1.42   0.157    -.0757723    .0122931
      reCL2011X |  -.0469457    .067292    -0.70   0.486     -.179668    .0857765
          _cons |  -.0005426   .0004319    -1.26   0.210    -.0013944    .0003091
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011X
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    1.75
            Prob > F =    0.1874

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.46
            Prob > F =    0.1182

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7893
(312 observations deleted)
(1164 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.512873

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.09
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0118488038                Centered R2   =   0.2021
Total (uncentered) SS   =  .0118572241                Uncentered R2 =   0.2027
Residual SS             =  .0094542344                Root MSE      =  .006999

---------------------------------------------------------------------------------
      reQL2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0095181   .0071912     1.32   0.187    -.0046652    .0237015
dummy_daybefore |   .0114215    .007279     1.57   0.118    -.0029352    .0257781
 dummy_dayafter |   .0019904    .007421     0.27   0.789    -.0126463    .0166271
           reSP |   .1044933   .0585999     1.78   0.076    -.0110852    .2200717
          reLib |   .0386228   .0324761     1.19   0.236    -.0254308    .1026764
        reTnote |   -.091925   .0327804    -2.80   0.006    -.1565788   -.0272711
           reCR |   .3271337    .091175     3.59   0.000     .1473063    .5069611
          reBDI |  -.0317328   .0223247    -1.42   0.157    -.0757646     .012299
      reCL2011Z |  -.0472534   .0673491    -0.70   0.484    -.1800882    .0855813
          _cons |  -.0005425   .0004318    -1.26   0.211    -.0013942    .0003092
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Z
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    1.75
            Prob > F =    0.1872

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.46
            Prob > F =    0.1183

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7888
(note: file C:/yourdirectory/temp_base.dta not found)
file C:/yourdirectory/temp_base.dta saved
(392 observations deleted)
file C:/yourdirectory/output/graham_timeseries_QL_12mo.dta saved
(392 observations deleted)
file C:/yourdirectory/output/graham_voltimeseries_QL_12mo.dta saved
(392 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010V |    200    0.99537      0.690    -0.852    0.80293
resid_~2010X |    200    0.99655      0.515    -1.526    0.93656
resid_~2010Z |    200    0.99682      0.474    -1.717    0.95699
resid_~2011F |    200    0.99672      0.490    -1.643    0.94986
resid_~2011G |    200    0.99673      0.487    -1.655    0.95101
resid_~2011H |    200    0.99674      0.486    -1.659    0.95149
resid_~2011J |    200    0.99524      0.710    -0.789    0.78485
resid_~2011K |    200    0.99527      0.705    -0.803    0.78893
resid_~2011M |    200    0.99529      0.703    -0.812    0.79155
resid_~2011N |    200    0.99516      0.722    -0.751    0.77354
resid_~2011Q |    200    0.99516      0.723    -0.748    0.77269
resid_~2011U |    200    0.99514      0.725    -0.739    0.76989
resid_~2011V |    200    0.99143      1.278     0.565    0.28608
resid_~2011X |    200    0.99141      1.282     0.571    0.28405
resid_~2011Z |    200    0.99142      1.280     0.569    0.28476
Jarque-Bera normality test:  .7602 Chi(2)  .6838
Jarque-Bera test for Ho: normality: (resid_QL_2010V)
Jarque-Bera normality test:  .1724 Chi(2)  .9174
Jarque-Bera test for Ho: normality: (resid_QL_2010X)
Jarque-Bera normality test:  .0517 Chi(2)  .9745
Jarque-Bera test for Ho: normality: (resid_QL_2010Z)
Jarque-Bera normality test:  .0222 Chi(2)   .989
Jarque-Bera test for Ho: normality: (resid_QL_2011F)
Jarque-Bera normality test:  .0255 Chi(2)  .9873
Jarque-Bera test for Ho: normality: (resid_QL_2011G)
Jarque-Bera normality test:  .0292 Chi(2)  .9855
Jarque-Bera test for Ho: normality: (resid_QL_2011H)
Jarque-Bera normality test:  .9002 Chi(2)  .6376
Jarque-Bera test for Ho: normality: (resid_QL_2011J)
Jarque-Bera normality test:  .8951 Chi(2)  .6392
Jarque-Bera test for Ho: normality: (resid_QL_2011K)
Jarque-Bera normality test:  .8909 Chi(2)  .6405
Jarque-Bera test for Ho: normality: (resid_QL_2011M)
Jarque-Bera normality test:  1.578 Chi(2)  .4542
Jarque-Bera test for Ho: normality: (resid_QL_2011N)
Jarque-Bera normality test:  1.587 Chi(2)  .4522
Jarque-Bera test for Ho: normality: (resid_QL_2011Q)
Jarque-Bera normality test:  1.593 Chi(2)  .4509
Jarque-Bera test for Ho: normality: (resid_QL_2011U)
Jarque-Bera normality test:   .887 Chi(2)  .6418
Jarque-Bera test for Ho: normality: (resid_QL_2011V)
Jarque-Bera normality test:  .8943 Chi(2)  .6394
Jarque-Bera test for Ho: normality: (resid_QL_2011X)
Jarque-Bera normality test:  .8983 Chi(2)  .6382
Jarque-Bera test for Ho: normality: (resid_QL_2011Z)
file C:/yourdirectory/output/graham_resids_QL_base_12mo.dta saved
(392 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_QL_base_12mo.dta saved
(594 observations deleted)
(note: j = 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110 201111 201112)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      15
Number of variables                 136   ->      11
j variable (15 values)                    ->   contract
xij variables:
b_QL_base_Day201010 b_QL_base_Day201011 ... b_QL_base_Day201112->b_QL_base_Day
se_QL_base_Day201010 se_QL_base_Day201011 ... se_QL_base_Day201112->se_QL_base_Day
p_QL_base_Day201010 p_QL_base_Day201011 ... p_QL_base_Day201112->p_QL_base_Day
b_QL_base_Before201010 b_QL_base_Before201011 ... b_QL_base_Before201112->b_QL_base_Before
se_QL_base_Before201010 se_QL_base_Before201011 ... se_QL_base_Before201112->se_QL_base_Before
p_QL_base_Before201010 p_QL_base_Before201011 ... p_QL_base_Before201112->p_QL_base_Before
b_QL_base_After201010 b_QL_base_After201011 ... b_QL_base_After201112->b_QL_base_After
se_QL_base_After201010 se_QL_base_After201011 ... se_QL_base_After201112->se_QL_base_After
p_QL_base_After201010 p_QL_base_After201011 ... p_QL_base_After201112->p_QL_base_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_QL_base.dta not found)
file C:/yourdirectory/output/coeffs_QL_base.dta saved
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(0 real changes made)
        time variable:  counter, 1 to 820
                delta:  1 unit
(819 missing values generated)
(819 real changes made)
(203 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.31
                                                      Prob > F      =   0.0779
Total (centered) SS     =   .020684609                Centered R2   =   0.0333
Total (uncentered) SS   =  .0206846716                Uncentered R2 =   0.0334
Residual SS             =  .0199948185                Root MSE      =   .01002

---------------------------------------------------------------------------------
      reQL2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .019551   .0100542     1.94   0.053    -.0002754    .0393773
dummy_daybefore |   .0156857   .0100436     1.56   0.120    -.0041199    .0354912
 dummy_dayafter |  -.0080713   .0100436    -0.80   0.423    -.0278768    .0117342
          _cons |  -.0001514   .0009873    -0.15   0.878    -.0020983    .0017955
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(617 missing values generated)
(617 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.78
            Prob > F =    0.0532

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.44
            Prob > F =    0.1199

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.65
            Prob > F =    0.4226
(21 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 820
                delta:  1 unit
(819 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.32
                                                      Prob > F      =   0.0764
Total (centered) SS     =  .0204113115                Centered R2   =   0.0336
Total (uncentered) SS   =  .0204123183                Uncentered R2 =   0.0336
Residual SS             =  .0197262776                Root MSE      =  .009956

---------------------------------------------------------------------------------
      reQL2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0194616   .0099904     1.95   0.053     -.000239    .0391623
dummy_daybefore |   .0155963   .0099793     1.56   0.120    -.0040823     .035275
 dummy_dayafter |  -.0081606   .0099793    -0.82   0.414    -.0278393     .011518
          _cons |  -.0000621   .0009451    -0.07   0.948    -.0019258    .0018016
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(617 missing values generated)
(617 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.79
            Prob > F =    0.0528

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.44
            Prob > F =    0.1197

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.67
            Prob > F =    0.4145
(41 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 820
                delta:  1 unit
(819 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.38
                                                      Prob > F      =   0.0713
Total (centered) SS     =   .019987541                Centered R2   =   0.0341
Total (uncentered) SS   =  .0199911959                Uncentered R2 =   0.0343
Residual SS             =  .0193059244                Root MSE      =   .00985

---------------------------------------------------------------------------------
      reQL2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0193969   .0098857     1.96   0.051    -.0000972    .0388911
dummy_daybefore |   .0155316    .009875     1.57   0.117    -.0039414    .0350047
 dummy_dayafter |  -.0082253    .009875    -0.83   0.406    -.0276984    .0112477
          _cons |   2.64e-06   .0009129     0.00   0.998    -.0017976    .0018029
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(617 missing values generated)
(617 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.85
            Prob > F =    0.0511

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.47
            Prob > F =    0.1173

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.69
            Prob > F =    0.4059
(270 observations deleted)
(613 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.39
                                                      Prob > F      =   0.0700
Total (centered) SS     =  .0163799553                Centered R2   =   0.0336
Total (uncentered) SS   =  .0163813626                Uncentered R2 =   0.0337
Residual SS             =  .0158292313                Root MSE      =  .008919

---------------------------------------------------------------------------------
      reQL2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0175768   .0089514     1.96   0.051    -.0000749    .0352286
dummy_daybefore |   .0135125   .0089432     1.51   0.132    -.0041231     .031148
 dummy_dayafter |  -.0078645   .0089432    -0.88   0.380    -.0255001    .0097711
          _cons |  -.0000311   .0008113    -0.04   0.969     -.001631    .0015687
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.86
            Prob > F =    0.0510

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.28
            Prob > F =    0.1324

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.77
            Prob > F =    0.3803
(84 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.39
                                                      Prob > F      =   0.0700
Total (centered) SS     =  .0163799553                Centered R2   =   0.0336
Total (uncentered) SS   =  .0163813626                Uncentered R2 =   0.0337
Residual SS             =  .0158292313                Root MSE      =  .008919

---------------------------------------------------------------------------------
      reQL2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0175768   .0089514     1.96   0.051    -.0000749    .0352286
dummy_daybefore |   .0135125   .0089432     1.51   0.132    -.0041231     .031148
 dummy_dayafter |  -.0078645   .0089432    -0.88   0.380    -.0255001    .0097711
          _cons |  -.0000311   .0008113    -0.04   0.969     -.001631    .0015687
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.86
            Prob > F =    0.0510

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.28
            Prob > F =    0.1324

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.77
            Prob > F =    0.3803
(103 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.39
                                                      Prob > F      =   0.0700
Total (centered) SS     =  .0163799553                Centered R2   =   0.0336
Total (uncentered) SS   =  .0163813626                Uncentered R2 =   0.0337
Residual SS             =  .0158292313                Root MSE      =  .008919

---------------------------------------------------------------------------------
      reQL2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0175768   .0089514     1.96   0.051    -.0000749    .0352286
dummy_daybefore |   .0135125   .0089432     1.51   0.132    -.0041231     .031148
 dummy_dayafter |  -.0078645   .0089432    -0.88   0.380    -.0255001    .0097711
          _cons |  -.0000311   .0008113    -0.04   0.969     -.001631    .0015687
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.86
            Prob > F =    0.0510

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.28
            Prob > F =    0.1324

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.77
            Prob > F =    0.3803
(126 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.06
                                                      Prob > F      =   0.1067
Total (centered) SS     =   .014654994                Centered R2   =   0.0292
Total (uncentered) SS   =  .0146552882                Uncentered R2 =   0.0292
Residual SS             =  .0142274726                Root MSE      =  .008455

---------------------------------------------------------------------------------
      reQL2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0147207   .0084896     1.73   0.084    -.0020204    .0314617
dummy_daybefore |   .0123933   .0084822     1.46   0.146    -.0043332    .0291198
 dummy_dayafter |   -.007687   .0084822    -0.91   0.366    -.0244135    .0090395
          _cons |  -.0000576   .0007182    -0.08   0.936     -.001474    .0013587
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.01
            Prob > F =    0.0845

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.13
            Prob > F =    0.1456

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.82
            Prob > F =    0.3659
(146 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.06
                                                      Prob > F      =   0.1067
Total (centered) SS     =   .014654994                Centered R2   =   0.0292
Total (uncentered) SS   =  .0146552882                Uncentered R2 =   0.0292
Residual SS             =  .0142274726                Root MSE      =  .008455

---------------------------------------------------------------------------------
      reQL2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0147207   .0084896     1.73   0.084    -.0020204    .0314617
dummy_daybefore |   .0123933   .0084822     1.46   0.146    -.0043332    .0291198
 dummy_dayafter |   -.007687   .0084822    -0.91   0.366    -.0244135    .0090395
          _cons |  -.0000576   .0007182    -0.08   0.936     -.001474    .0013587
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.01
            Prob > F =    0.0845

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.13
            Prob > F =    0.1456

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.82
            Prob > F =    0.3659
(167 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     2.06
                                                      Prob > F      =   0.1067
Total (centered) SS     =   .014654994                Centered R2   =   0.0292
Total (uncentered) SS   =  .0146552882                Uncentered R2 =   0.0292
Residual SS             =  .0142274726                Root MSE      =  .008455

---------------------------------------------------------------------------------
      reQL2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0147207   .0084896     1.73   0.084    -.0020204    .0314617
dummy_daybefore |   .0123933   .0084822     1.46   0.146    -.0043332    .0291198
 dummy_dayafter |   -.007687   .0084822    -0.91   0.366    -.0244135    .0090395
          _cons |  -.0000576   .0007182    -0.08   0.936     -.001474    .0013587
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.01
            Prob > F =    0.0845

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.13
            Prob > F =    0.1456

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.82
            Prob > F =    0.3659
(189 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.56
                                                      Prob > F      =   0.2010
Total (centered) SS     =  .0127640638                Centered R2   =   0.0231
Total (uncentered) SS   =  .0127640746                Uncentered R2 =   0.0231
Residual SS             =   .012469434                Root MSE      =  .007916

---------------------------------------------------------------------------------
      reQL2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0116669   .0079519     1.47   0.144    -.0040139    .0273477
dummy_daybefore |    .011228   .0079445     1.41   0.159    -.0044382    .0268942
 dummy_dayafter |  -.0058207   .0079445    -0.73   0.465    -.0214869    .0098454
          _cons |  -.0000914   .0006228    -0.15   0.883    -.0013195    .0011367
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    2.15
            Prob > F =    0.1439

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.00
            Prob > F =    0.1591

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.54
            Prob > F =    0.4646
(209 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.56
                                                      Prob > F      =   0.2010
Total (centered) SS     =  .0127640638                Centered R2   =   0.0231
Total (uncentered) SS   =  .0127640746                Uncentered R2 =   0.0231
Residual SS             =   .012469434                Root MSE      =  .007916

---------------------------------------------------------------------------------
      reQL2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0116669   .0079519     1.47   0.144    -.0040139    .0273477
dummy_daybefore |    .011228   .0079445     1.41   0.159    -.0044382    .0268942
 dummy_dayafter |  -.0058207   .0079445    -0.73   0.465    -.0214869    .0098454
          _cons |  -.0000914   .0006228    -0.15   0.883    -.0013195    .0011367
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    2.15
            Prob > F =    0.1439

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.00
            Prob > F =    0.1591

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.54
            Prob > F =    0.4646
(232 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.56
                                                      Prob > F      =   0.2010
Total (centered) SS     =  .0127640638                Centered R2   =   0.0231
Total (uncentered) SS   =  .0127640746                Uncentered R2 =   0.0231
Residual SS             =   .012469434                Root MSE      =  .007916

---------------------------------------------------------------------------------
      reQL2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0116669   .0079519     1.47   0.144    -.0040139    .0273477
dummy_daybefore |    .011228   .0079445     1.41   0.159    -.0044382    .0268942
 dummy_dayafter |  -.0058207   .0079445    -0.73   0.465    -.0214869    .0098454
          _cons |  -.0000914   .0006228    -0.15   0.883    -.0013195    .0011367
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    2.15
            Prob > F =    0.1439

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    2.00
            Prob > F =    0.1591

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.54
            Prob > F =    0.4646
(253 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.42
                                                      Prob > F      =   0.2386
Total (centered) SS     =  .0119338537                Centered R2   =   0.0212
Total (uncentered) SS   =  .0119345941                Uncentered R2 =   0.0213
Residual SS             =  .0116808995                Root MSE      =  .007661

---------------------------------------------------------------------------------
      reQL2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0105075   .0076981     1.36   0.174    -.0046729    .0256878
dummy_daybefore |   .0107546   .0076915     1.40   0.164    -.0044128     .025922
 dummy_dayafter |  -.0053047   .0076915    -0.69   0.491    -.0204721    .0098627
          _cons |   -.000139   .0005698    -0.24   0.808    -.0012627    .0009847
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    1.86
            Prob > F =    0.1738

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.96
            Prob > F =    0.1636

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.48
            Prob > F =    0.4912
(274 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.42
                                                      Prob > F      =   0.2386
Total (centered) SS     =  .0119338537                Centered R2   =   0.0212
Total (uncentered) SS   =  .0119345941                Uncentered R2 =   0.0213
Residual SS             =  .0116808995                Root MSE      =  .007661

---------------------------------------------------------------------------------
      reQL2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0105075   .0076981     1.36   0.174    -.0046729    .0256878
dummy_daybefore |   .0107546   .0076915     1.40   0.164    -.0044128     .025922
 dummy_dayafter |  -.0053047   .0076915    -0.69   0.491    -.0204721    .0098627
          _cons |   -.000139   .0005698    -0.24   0.808    -.0012627    .0009847
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    1.86
            Prob > F =    0.1738

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.96
            Prob > F =    0.1636

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.48
            Prob > F =    0.4912
(294 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 613
                delta:  1 unit
(612 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.42
                                                      Prob > F      =   0.2386
Total (centered) SS     =  .0119338537                Centered R2   =   0.0212
Total (uncentered) SS   =  .0119345941                Uncentered R2 =   0.0213
Residual SS             =  .0116808995                Root MSE      =  .007661

---------------------------------------------------------------------------------
      reQL2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0105075   .0076981     1.36   0.174    -.0046729    .0256878
dummy_daybefore |   .0107546   .0076915     1.40   0.164    -.0044128     .025922
 dummy_dayafter |  -.0053047   .0076915    -0.69   0.491    -.0204721    .0098627
          _cons |   -.000139   .0005698    -0.24   0.808    -.0012627    .0009847
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(410 missing values generated)
(410 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    1.86
            Prob > F =    0.1738

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.96
            Prob > F =    0.1636

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.48
            Prob > F =    0.4912
(note: file C:/yourdirectory/temp_nocovar.dta not found)
file C:/yourdirectory/temp_nocovar.dta saved
(410 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010V |    200    0.99513      0.726    -0.736    0.76910
resid_~2010X |    200    0.99601      0.595    -1.196    0.88411
resid_~2010Z |    200    0.99530      0.701    -0.817    0.79309
resid_~2011F |    200    0.99525      0.709    -0.791    0.78554
resid_~2011G |    200    0.99525      0.709    -0.791    0.78554
resid_~2011H |    200    0.99525      0.709    -0.791    0.78554
resid_~2011J |    200    0.99264      1.098     0.214    0.41511
resid_~2011K |    200    0.99264      1.098     0.214    0.41511
resid_~2011M |    200    0.99264      1.098     0.214    0.41511
resid_~2011N |    200    0.99130      1.298     0.601    0.27396
resid_~2011Q |    200    0.99130      1.298     0.601    0.27396
resid_~2011U |    200    0.99130      1.298     0.601    0.27396
resid_~2011V |    200    0.99054      1.411     0.792    0.21415
resid_~2011X |    200    0.99054      1.411     0.792    0.21415
resid_~2011Z |    200    0.99054      1.411     0.792    0.21415
Jarque-Bera normality test:  .8735 Chi(2)  .6461
Jarque-Bera test for Ho: normality: (resid_QL_2010V)
Jarque-Bera normality test:  .4658 Chi(2)  .7922
Jarque-Bera test for Ho: normality: (resid_QL_2010X)
Jarque-Bera normality test:  .4327 Chi(2)  .8054
Jarque-Bera test for Ho: normality: (resid_QL_2010Z)
Jarque-Bera normality test:  .2012 Chi(2)  .9043
Jarque-Bera test for Ho: normality: (resid_QL_2011F)
Jarque-Bera normality test:  .2012 Chi(2)  .9043
Jarque-Bera test for Ho: normality: (resid_QL_2011G)
Jarque-Bera normality test:  .2012 Chi(2)  .9043
Jarque-Bera test for Ho: normality: (resid_QL_2011H)
Jarque-Bera normality test:   .354 Chi(2)  .8378
Jarque-Bera test for Ho: normality: (resid_QL_2011J)
Jarque-Bera normality test:   .354 Chi(2)  .8378
Jarque-Bera test for Ho: normality: (resid_QL_2011K)
Jarque-Bera normality test:   .354 Chi(2)  .8378
Jarque-Bera test for Ho: normality: (resid_QL_2011M)
Jarque-Bera normality test:  .9846 Chi(2)  .6112
Jarque-Bera test for Ho: normality: (resid_QL_2011N)
Jarque-Bera normality test:  .9846 Chi(2)  .6112
Jarque-Bera test for Ho: normality: (resid_QL_2011Q)
Jarque-Bera normality test:  .9846 Chi(2)  .6112
Jarque-Bera test for Ho: normality: (resid_QL_2011U)
Jarque-Bera normality test:  1.375 Chi(2)  .5029
Jarque-Bera test for Ho: normality: (resid_QL_2011V)
Jarque-Bera normality test:  1.375 Chi(2)  .5029
Jarque-Bera test for Ho: normality: (resid_QL_2011X)
Jarque-Bera normality test:  1.375 Chi(2)  .5029
Jarque-Bera test for Ho: normality: (resid_QL_2011Z)
file C:/yourdirectory/output/graham_resids_QL_nocovar_12mo.dta saved
(410 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_QL_nocovar_12mo.dta saved
(612 observations deleted)
(note: j = 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110 201111 201112)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      15
Number of variables                 136   ->      11
j variable (15 values)                    ->   contract
xij variables:
b_QL_nocovar_Day201010 b_QL_nocovar_Day201011 ... b_QL_nocovar_Day201112->b_QL_nocovar_Day
se_QL_nocovar_Day201010 se_QL_nocovar_Day201011 ... se_QL_nocovar_Day201112->se_QL_nocovar_Day
p_QL_nocovar_Day201010 p_QL_nocovar_Day201011 ... p_QL_nocovar_Day201112->p_QL_nocovar_Day
b_QL_nocovar_Before201010 b_QL_nocovar_Before201011 ... b_QL_nocovar_Before201112->b_QL_nocovar_Before
se_QL_nocovar_Before201010 se_QL_nocovar_Before201011 ... se_QL_nocovar_Before201112->se_QL_nocovar_Before
p_QL_nocovar_Before201010 p_QL_nocovar_Before201011 ... p_QL_nocovar_Before201112->p_QL_nocovar_Before
b_QL_nocovar_After201010 b_QL_nocovar_After201011 ... b_QL_nocovar_After201112->b_QL_nocovar_After
se_QL_nocovar_After201010 se_QL_nocovar_After201011 ... se_QL_nocovar_After201112->se_QL_nocovar_After
p_QL_nocovar_After201010 p_QL_nocovar_After201011 ... p_QL_nocovar_After201112->p_QL_nocovar_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_QL_nocovar.dta not found)
file C:/yourdirectory/output/coeffs_QL_nocovar.dta saved
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(13148 observations deleted)
(5893 observations deleted)
(11810 observations deleted)
(1013 observations deleted)
(5144 observations deleted)
(427 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(736 real changes made)
(203 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  670.53621
                                                                 (not concave)
Gradient vector (length = 4011.776):
          reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.05e-06        -9.53e-06         2.68e-06        -1.507144        -2.254832        -1.447247        -2.243662

          reQL2010V:       reQL2010V:       reQL2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000005         __000006            _cons            _cons
r1        -7.454897        -3.708946         53.69431         36.14608         -.318559        -4011.243        -.1763517
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  670.53621
                                                                 (not concave)
Gradient vector (length = 4011.776):
          reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:       reQL2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000113        -6.55e-06        -7.53e-06        -1.507143        -2.254833        -1.447246        -2.243662

          reQL2010V:       reQL2010V:       reQL2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000005         __000006            _cons            _cons
r1        -7.454896        -3.708946         53.69429         36.14608         -.318559        -4011.243        -.1763517
------------------------------------------------------------------------------

ARCH family regression

Sample: 535 - 737                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =   1105.19
Log pseudolikelihood =  670.5362                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010V       |
 dummy_eventday |   .0177175    .005021     3.53   0.000     .0078766    .0275584
dummy_daybefore |   .0161621   .0074218     2.18   0.029     .0016157    .0307085
 dummy_dayafter |  -.0004787   .0041771    -0.11   0.909    -.0086656    .0077081
           reSP |   .1163718     .06666     1.75   0.081    -.0142794     .247023
          reLib |   .1015812   .0637948     1.59   0.111    -.0234543    .2266167
        reTnote |  -.1707749    .041424    -4.12   0.000    -.2519644   -.0895854
           reCR |   .4983672   .1461772     3.41   0.001     .2118652    .7848693
          reBDI |   -.038591   .0794748    -0.49   0.627    -.1943588    .1171767
      reCL2010V |  -.0691525   .0822123    -0.84   0.400    -.2302857    .0919806
          _cons |  -.0006462   .0006431    -1.00   0.315    -.0019067    .0006143
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.48e-16    .069436     0.00   1.000    -.1360921    .1360921
                |
          garch |
            L1. |  -5.09e-17          .        .       .            .           .
                |
          _cons |   .0000794   .0000128     6.22   0.000     .0000544    .0001044
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   14.11515     0.24   0.813    -24.33299     30.9974
----------------+----------------------------------------------------------------
             df |         30   395.2243                             2    2.90e+13
---------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)

 ( 1)  [reQL2010V]dummy_eventday = 0

           chi2(  1) =   12.45
         Prob > chi2 =    0.0004

 ( 1)  [reQL2010V]dummy_daybefore = 0

           chi2(  1) =    4.74
         Prob > chi2 =    0.0294

 ( 1)  [reQL2010V]dummy_dayafter = 0

           chi2(  1) =    0.01
         Prob > chi2 =    0.9088
(104 observations deleted)
(444 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  671.39045
                                                                 (not concave)
Gradient vector (length =  412.635):
          reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         6.96e-06         3.16e-06         2.54e-06        -1.272851        -2.364175        -.9835802        -2.176038

          reQL2010X:       reQL2010X:       reQL2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000005         __000006            _cons            _cons
r1        -6.517117        -3.206194          27.4427         36.02334         .0321931         410.0625         -.006709
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  671.39045
                                                                 (not concave)
Gradient vector (length =  412.635):
          reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:       reQL2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.88e-06        -1.60e-06        -3.15e-06        -1.272851        -2.364175          -.98358        -2.176038

          reQL2010X:       reQL2010X:       reQL2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000005         __000006            _cons            _cons
r1        -6.517118        -3.206194         27.44269         36.02334         .0321931         410.0625         -.006709
------------------------------------------------------------------------------

ARCH family regression

Sample: 535 - 737                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    747.64
Log pseudolikelihood =  671.3904                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010X       |
 dummy_eventday |   .0176182   .0025155     7.00   0.000     .0126879    .0225485
dummy_daybefore |   .0161655   .0031793     5.08   0.000     .0099341    .0223969
 dummy_dayafter |   -.000207   .0028589    -0.07   0.942    -.0058103    .0053963
           reSP |   .1224986   .0667899     1.83   0.067    -.0084072    .2534044
          reLib |   .0995314   .0402018     2.48   0.013     .0207373    .1783254
        reTnote |  -.1690935   .0407207    -4.15   0.000    -.2489046   -.0892823
           reCR |   .5072283   .1335564     3.80   0.000     .2454626    .7689941
          reBDI |  -.0396053    .037524    -1.06   0.291    -.1131511    .0339404
      reCL2010X |  -.0806541   .0714527    -1.13   0.259    -.2206988    .0593905
          _cons |  -.0005355   .0006448    -0.83   0.406    -.0017992    .0007283
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   7.64e-17   .0486214     0.00   1.000    -.0952962    .0952962
                |
          garch |
            L1. |  -2.98e-17          .        .       .            .           .
                |
          _cons |   .0000786   .0000108     7.27   0.000     .0000574    .0000998
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   2.644107     1.26   0.208     -1.85015    8.514559
----------------+----------------------------------------------------------------
             df |         30   74.03499                      2.157214    4988.846
---------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)

 ( 1)  [reQL2010X]dummy_eventday = 0

           chi2(  1) =   49.05
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010X]dummy_daybefore = 0

           chi2(  1) =   25.85
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010X]dummy_dayafter = 0

           chi2(  1) =    0.01
         Prob > chi2 =    0.9423
(124 observations deleted)
(1018 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  673.62961
                                                                 (not concave)
Gradient vector (length = 2251.951):
          reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.78e-06         2.82e-06         2.69e-06        -1.173786        -2.458035        -.8692124        -2.161598

          reQL2010Z:       reQL2010Z:       reQL2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000005         __000006            _cons            _cons
r1        -5.747184        -2.987572         10.74426         38.27459         .1729652         2251.588         .0659124
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  673.62961
                                                                 (not concave)
Gradient vector (length = 2251.951):
          reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:       reQL2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.89e-06         1.89e-07         3.84e-08        -1.173786        -2.458035        -.8692124        -2.161598

          reQL2010Z:       reQL2010Z:       reQL2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000005         __000006            _cons            _cons
r1        -5.747185        -2.987572         10.74425         38.27459         .1729652         2251.588         .0659124
------------------------------------------------------------------------------

ARCH family regression

Sample: 535 - 737                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    753.88
Log pseudolikelihood =  673.6296                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2010Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2010Z       |
 dummy_eventday |   .0175444    .002353     7.46   0.000     .0129327    .0221562
dummy_daybefore |   .0161263   .0029057     5.55   0.000     .0104312    .0218213
 dummy_dayafter |   .0001129    .002777     0.04   0.968    -.0053299    .0055558
           reSP |   .1245935   .0671324     1.86   0.063    -.0069836    .2561705
          reLib |   .0979345   .0394215     2.48   0.013     .0206697    .1751993
        reTnote |   -.161529   .0394179    -4.10   0.000    -.2387868   -.0842713
           reCR |    .511766   .1321841     3.87   0.000     .2526899    .7708422
          reBDI |  -.0406263   .0346956    -1.17   0.242    -.1086284    .0273758
      reCL2010Z |  -.0894585    .072445    -1.23   0.217    -.2314481    .0525312
          _cons |  -.0004568    .000642    -0.71   0.477    -.0017151    .0008016
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   3.74e-17   .0477111     0.00   1.000    -.0935121    .0935121
                |
          garch |
            L1. |  -1.61e-17          .        .       .            .           .
                |
          _cons |   .0000768   .0000107     7.20   0.000     .0000559    .0000977
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.847293     1.80   0.071    -.2884233    6.952832
----------------+----------------------------------------------------------------
             df |         30   51.72421                      2.749444    1048.108
---------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)

 ( 1)  [reQL2010Z]dummy_eventday = 0

           chi2(  1) =   55.60
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010Z]dummy_daybefore = 0

           chi2(  1) =   30.80
         Prob > chi2 =    0.0000

 ( 1)  [reQL2010Z]dummy_dayafter = 0

           chi2(  1) =    0.00
         Prob > chi2 =    0.9676
(223 observations deleted)
(628 observations deleted)
(595 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  693.49418
                                                                 (not concave)
Gradient vector (length = 3673.991):
          reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.03e-06         9.85e-06         4.26e-06        -1.212065        -3.671161        -2.584694        -2.586809

          reQL2011F:       reQL2011F:       reQL2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000005         __000006            _cons            _cons
r1        -1.290211        -3.465597        -13.72756         27.01316         .2319674          3673.86         .0889819
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  693.49418
                                                                 (not concave)
Gradient vector (length = 3673.991):
          reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:       reQL2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -6.11e-06         5.52e-06        -5.31e-06        -1.212065        -3.671161        -2.584694        -2.586809

          reQL2011F:       reQL2011F:       reQL2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000005         __000006            _cons            _cons
r1        -1.290212        -3.465597        -13.72758         27.01316         .2319674          3673.86         .0889819
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    670.75
Log pseudolikelihood =  693.4942                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011F |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011F       |
 dummy_eventday |   .0160711   .0018741     8.58   0.000     .0123979    .0197443
dummy_daybefore |   .0146235   .0023915     6.11   0.000     .0099363    .0193107
 dummy_dayafter |   .0014739    .002662     0.55   0.580    -.0037435    .0066913
           reSP |   .1422433   .0610099     2.33   0.020     .0226662    .2618204
          reLib |   .0661677   .0491187     1.35   0.178    -.0301032    .1624386
        reTnote |  -.1262186   .0365788    -3.45   0.001    -.1979117   -.0545255
           reCR |    .459467   .1264517     3.63   0.000     .2116263    .7073077
          reBDI |  -.0413526   .0274925    -1.50   0.133    -.0952368    .0125316
      reCL2011F |  -.0989247   .0709456    -1.39   0.163    -.2379755     .040126
          _cons |  -.0005412   .0005863    -0.92   0.356    -.0016904    .0006079
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.82e-16   .0611043     0.00   1.000    -.1197622    .1197622
                |
          garch |
            L1. |  -5.66e-17          .        .       .            .           .
                |
          _cons |   .0000631   9.93e-06     6.36   0.000     .0000437    .0000826
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.682126     1.98   0.048      .035298    6.629111
----------------+----------------------------------------------------------------
             df |         30   47.09953                      3.035928    758.8091
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011F]dummy_eventday = 0

           chi2(  1) =   73.54
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011F]dummy_daybefore = 0

           chi2(  1) =   37.39
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011F]dummy_dayafter = 0

           chi2(  1) =    0.31
         Prob > chi2 =    0.5798
(102 observations deleted)
(649 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  693.53483
                                                                 (not concave)
Gradient vector (length = 3599.377):
          reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000101         3.14e-06         6.23e-06        -1.178445        -3.678794        -2.523448        -2.580961

          reQL2011G:       reQL2011G:       reQL2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000005         __000006            _cons            _cons
r1        -1.277207        -3.427242        -15.13463         27.00305         .2271856         3599.238         .0860449
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  693.53483
                                                                 (not concave)
Gradient vector (length = 3599.377):
          reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:       reQL2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         8.07e-06        -3.65e-06         2.95e-06        -1.178445        -3.678795        -2.523448        -2.580961

          reQL2011G:       reQL2011G:       reQL2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000005         __000006            _cons            _cons
r1        -1.277207        -3.427242        -15.13464         27.00305         .2271856         3599.238         .0860449
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    671.49
Log pseudolikelihood =  693.5348                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011G |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011G       |
 dummy_eventday |   .0160786    .001874     8.58   0.000     .0124056    .0197516
dummy_daybefore |   .0145954   .0023831     6.12   0.000     .0099246    .0192663
 dummy_dayafter |   .0015323   .0026773     0.57   0.567    -.0037151    .0067796
           reSP |   .1430039   .0613263     2.33   0.020     .0228066    .2632013
          reLib |    .066099   .0489362     1.35   0.177    -.0298143    .1620122
        reTnote |  -.1267394   .0365005    -3.47   0.001    -.1982791   -.0551996
           reCR |   .4610045   .1258564     3.66   0.000     .2143304    .7076785
          reBDI |   -.041441   .0274721    -1.51   0.131    -.0952853    .0124033
      reCL2011G |  -.1015643   .0718412    -1.41   0.157    -.2423705    .0392418
          _cons |  -.0005397   .0005858    -0.92   0.357    -.0016879    .0006085
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   9.15e-17   .0611524     0.00   1.000    -.1198565    .1198565
                |
          garch |
            L1. |  -2.83e-17          .        .       .            .           .
                |
          _cons |   .0000631   9.94e-06     6.35   0.000     .0000436    .0000826
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.699075     1.96   0.050     .0020779    6.662331
----------------+----------------------------------------------------------------
             df |         30   47.57411                       3.00208    784.3726
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011G]dummy_eventday = 0

           chi2(  1) =   73.61
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011G]dummy_daybefore = 0

           chi2(  1) =   37.51
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011G]dummy_dayafter = 0

           chi2(  1) =    0.33
         Prob > chi2 =    0.5671
(121 observations deleted)
(671 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  693.58795
                                                                 (not concave)
Gradient vector (length = 3526.475):
          reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -5.00e-06        -6.94e-06         6.28e-06        -1.160356        -3.688036        -2.492466         -2.57609

          reQL2011H:       reQL2011H:       reQL2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000005         __000006            _cons            _cons
r1        -1.258241        -3.384639        -16.93814         27.05947         .2224549         3526.325         .0842789
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  693.58795
                                                                 (not concave)
Gradient vector (length = 3526.475):
          reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:       reQL2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0001253         .0000913        -.0000974        -1.160354        -3.688034        -2.492462        -2.576087

          reQL2011H:       reQL2011H:       reQL2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000005         __000006            _cons            _cons
r1        -1.258249        -3.384637        -16.93801         27.05947         .2224549         3526.325         .0842789
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    672.15
Log pseudolikelihood =   693.588                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011H |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011H       |
 dummy_eventday |   .0160809   .0018742     8.58   0.000     .0124075    .0197544
dummy_daybefore |   .0145982   .0023796     6.13   0.000     .0099343    .0192622
 dummy_dayafter |   .0016125   .0026886     0.60   0.549     -.003657    .0068819
           reSP |   .1437827   .0615347     2.34   0.019     .0231768    .2643885
          reLib |   .0659277   .0488415     1.35   0.177    -.0297999    .1616554
        reTnote |   -.126808   .0364807    -3.48   0.001    -.1983089   -.0553071
           reCR |   .4629808   .1250488     3.70   0.000     .2178897    .7080718
          reBDI |  -.0414997   .0274495    -1.51   0.131    -.0952997    .0123004
      reCL2011H |   -.104662   .0724052    -1.45   0.148    -.2465736    .0372496
          _cons |  -.0005392   .0005855    -0.92   0.357    -.0016867    .0006084
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.93e-15   .0611616     0.00   1.000    -.1198745    .1198745
                |
          garch |
            L1. |  -9.07e-16          .        .       .            .           .
                |
          _cons |   .0000631   9.94e-06     6.34   0.000     .0000436    .0000826
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.709131     1.95   0.051    -.0176307     6.68204
----------------+----------------------------------------------------------------
             df |         30   47.85567                      2.982524     799.945
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011H]dummy_eventday = 0

           chi2(  1) =   73.62
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011H]dummy_daybefore = 0

           chi2(  1) =   37.63
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011H]dummy_dayafter = 0

           chi2(  1) =    0.36
         Prob > chi2 =    0.5487
(144 observations deleted)
(691 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  702.65044
                                                                 (not concave)
Gradient vector (length = 7630.757):
          reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1           .00001        -1.14e-06         4.10e-06        -.8901724        -4.365269        -4.522478        -3.515235

          reQL2011J:       reQL2011J:       reQL2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000005         __000006            _cons            _cons
r1        -4.634971        -3.775521         82.83037         11.94406        -.4418382        -7630.292        -.2474605
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  702.65044
                                                                 (not concave)
Gradient vector (length = 7630.757):
          reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:       reQL2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.21e-06         .0000512        -.0000102        -.8901717        -4.365268        -4.522477        -3.515234

          reQL2011J:       reQL2011J:       reQL2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000005         __000006            _cons            _cons
r1        -4.634968         -3.77552          82.8304         11.94406        -.4418382        -7630.292        -.2474605
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    866.15
Log pseudolikelihood =  702.6504                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011J |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011J       |
 dummy_eventday |   .0136061   .0018692     7.28   0.000     .0099425    .0172697
dummy_daybefore |   .0131355   .0022202     5.92   0.000     .0087841    .0174869
 dummy_dayafter |   .0009443   .0026499     0.36   0.722    -.0042494     .006138
           reSP |   .1306572   .0580842     2.25   0.024     .0168143    .2445001
          reLib |   .0536284   .0498854     1.08   0.282    -.0441452     .151402
        reTnote |  -.1146751   .0338958    -3.38   0.001    -.1811097   -.0482406
           reCR |   .4149691   .1104087     3.76   0.000     .1985719    .6313662
          reBDI |  -.0353867   .0269045    -1.32   0.188    -.0881186    .0173451
      reCL2011J |  -.0798527   .0695394    -1.15   0.251    -.2161475    .0564421
          _cons |  -.0005393   .0005535    -0.97   0.330    -.0016242    .0005456
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.31e-16    .081011     0.00   1.000    -.1587787    .1587787
                |
          garch |
            L1. |  -6.51e-18          .        .       .            .           .
                |
          _cons |   .0000579   9.68e-06     5.98   0.000     .0000389    .0000769
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011J]dummy_eventday = 0

           chi2(  1) =   52.98
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011J]dummy_daybefore = 0

           chi2(  1) =   35.01
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011J]dummy_dayafter = 0

           chi2(  1) =    0.13
         Prob > chi2 =    0.7216
(164 observations deleted)
(711 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =   702.6633
                                                                 (not concave)
Gradient vector (length = 7645.431):
          reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -4.49e-06         7.88e-06         2.94e-06        -.8860454        -4.376688        -4.518201        -3.517279

          reQL2011K:       reQL2011K:       reQL2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000005         __000006            _cons            _cons
r1        -4.646298        -3.729811         81.83552         12.04829         -.442638        -7644.978        -.2477287
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =   702.6633
                                                                 (not concave)
Gradient vector (length = 7645.431):
          reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:       reQL2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000474        -.0000223        -.0000763         -.886044        -4.376689        -4.518199        -3.517278

          reQL2011K:       reQL2011K:       reQL2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000005         __000006            _cons            _cons
r1        -4.646308         -3.72981         81.83547         12.04829         -.442638        -7644.978        -.2477287
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    635.46
Log pseudolikelihood =  702.6633                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011K |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011K       |
 dummy_eventday |   .0136144   .0018697     7.28   0.000       .00995    .0172789
dummy_daybefore |   .0131365     .00222     5.92   0.000     .0087854    .0174876
 dummy_dayafter |    .000949   .0026426     0.36   0.720    -.0042304    .0061283
           reSP |   .1308842   .0581857     2.25   0.024     .0168423    .2449261
          reLib |   .0536037   .0498141     1.08   0.282    -.0440301    .1512375
        reTnote |  -.1147476   .0338739    -3.39   0.001    -.1811391    -.048356
           reCR |   .4149191   .1094245     3.79   0.000      .200451    .6293872
          reBDI |  -.0353906   .0268848    -1.32   0.188    -.0880838    .0173027
      reCL2011K |  -.0808396    .069835    -1.16   0.247    -.2177137    .0560346
          _cons |  -.0005389   .0005536    -0.97   0.330     -.001624    .0005461
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   5.27e-16   .0808901     0.00   1.000    -.1585418    .1585418
                |
          garch |
            L1. |  -2.77e-17          .        .       .            .           .
                |
          _cons |   .0000579   9.68e-06     5.98   0.000     .0000389    .0000769
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011K]dummy_eventday = 0

           chi2(  1) =   53.02
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011K]dummy_daybefore = 0

           chi2(  1) =   35.02
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011K]dummy_dayafter = 0

           chi2(  1) =    0.13
         Prob > chi2 =    0.7195
(185 observations deleted)
(733 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  702.67975
                                                                 (not concave)
Gradient vector (length = 7666.396):
          reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.21e-07        -3.07e-08        -5.30e-07        -.8778027        -4.389711        -4.508331        -3.517167

          reQL2011M:       reQL2011M:       reQL2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000005         __000006            _cons            _cons
r1        -4.657514        -3.685603         80.87751         12.15708        -.4437814        -7665.954        -.2482674
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  702.67975
                                                                 (not concave)
Gradient vector (length = 7666.396):
          reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:       reQL2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000162         .0001208         6.33e-06         -.877802        -4.389709         -4.50833        -3.517167

          reQL2011M:       reQL2011M:       reQL2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000005         __000006            _cons            _cons
r1        -4.657506        -3.685602         80.87766         12.15708        -.4437814        -7665.954        -.2482674
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    867.52
Log pseudolikelihood =  702.6797                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011M |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011M       |
 dummy_eventday |   .0136215   .0018699     7.28   0.000     .0099566    .0172864
dummy_daybefore |   .0131319   .0022178     5.92   0.000     .0087852    .0174786
 dummy_dayafter |   .0009587   .0026345     0.36   0.716    -.0042049    .0061223
           reSP |   .1310267   .0582802     2.25   0.025     .0167995    .2452538
          reLib |   .0535673   .0497303     1.08   0.281    -.0439023    .1510369
        reTnote |  -.1148182   .0338544    -3.39   0.001    -.1811716   -.0484649
           reCR |   .4151706   .1084106     3.83   0.000     .2026897    .6276514
          reBDI |  -.0354279   .0268641    -1.32   0.187    -.0880806    .0172248
      reCL2011M |  -.0819701   .0699711    -1.17   0.241     -.219111    .0551708
          _cons |  -.0005389   .0005537    -0.97   0.330    -.0016241    .0005462
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   8.28e-18   .0807133     0.00   1.000    -.1581952    .1581952
                |
          garch |
            L1. |  -4.60e-19          .        .       .            .           .
                |
          _cons |   .0000579   9.68e-06     5.98   0.000     .0000389    .0000769
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011M]dummy_eventday = 0

           chi2(  1) =   53.07
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011M]dummy_daybefore = 0

           chi2(  1) =   35.06
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011M]dummy_dayafter = 0

           chi2(  1) =    0.13
         Prob > chi2 =    0.7159
(207 observations deleted)
(754 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  716.47733
                                                                 (not concave)
Gradient vector (length = 15143.87):
          reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.75e-06        -2.56e-06         1.83e-06        -.7703015        -5.835742        -4.843928        -4.005098

          reQL2011N:       reQL2011N:       reQL2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000005         __000006            _cons            _cons
r1         -5.35864        -3.884081          76.0788          13.2646         -.766694        -15143.67        -.3984112
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  716.47733
                                                                 (not concave)
Gradient vector (length = 15143.87):
          reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:       reQL2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         -.000019          .000021        -.0000308        -.7703005        -5.835743        -4.843927        -4.005098

          reQL2011N:       reQL2011N:       reQL2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000005         __000006            _cons            _cons
r1        -5.358639        -3.884081         76.07877          13.2646         -.766694        -15143.67        -.3984112
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    602.48
Log pseudolikelihood =  716.4773                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011N |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011N       |
 dummy_eventday |   .0107687   .0017057     6.31   0.000     .0074255    .0141118
dummy_daybefore |   .0117203   .0019495     6.01   0.000     .0078993    .0155413
 dummy_dayafter |   .0016292   .0024422     0.67   0.505    -.0031574    .0064158
           reSP |   .1124577    .054145     2.08   0.038     .0063355    .2185799
          reLib |   .0475034    .043506     1.09   0.275    -.0377667    .1327735
        reTnote |  -.1049165   .0319979    -3.28   0.001    -.1676312   -.0422017
           reCR |   .3603655   .0981148     3.67   0.000      .168064     .552667
          reBDI |  -.0303823   .0244152    -1.24   0.213    -.0782353    .0174707
      reCL2011N |  -.0553626   .0653342    -0.85   0.397    -.1834152    .0726901
          _cons |  -.0005458    .000517    -1.06   0.291    -.0015592    .0004676
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.21e-16   .0738578     0.00   1.000    -.1447585    .1447585
                |
          garch |
            L1. |  -1.51e-17          .        .       .            .           .
                |
          _cons |   .0000506   8.43e-06     6.00   0.000     .0000341    .0000672
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011N]dummy_eventday = 0

           chi2(  1) =   39.86
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011N]dummy_daybefore = 0

           chi2(  1) =   36.14
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011N]dummy_dayafter = 0

           chi2(  1) =    0.45
         Prob > chi2 =    0.5047
(227 observations deleted)
(774 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  716.48102
                                                                 (not concave)
Gradient vector (length = 15253.95):
          reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.17e-06         6.55e-06        -8.60e-06        -.7628072        -5.842076        -4.835211        -4.006971

          reQL2011Q:       reQL2011Q:       reQL2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000005         __000006            _cons            _cons
r1        -5.353897        -3.874981         75.55932         13.31658        -.7723016        -15253.76        -.4006561
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  716.48102
                                                                 (not concave)
Gradient vector (length = 15253.95):
          reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:       reQL2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000253        -2.63e-06        -1.67e-06        -.7628073        -5.842077        -4.835211        -4.006971

          reQL2011Q:       reQL2011Q:       reQL2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000005         __000006            _cons            _cons
r1        -5.353895        -3.874981         75.55929         13.31658        -.7723016        -15253.76        -.4006561
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    645.78
Log pseudolikelihood =   716.481                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011Q |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011Q       |
 dummy_eventday |   .0107791   .0017082     6.31   0.000     .0074311     .014127
dummy_daybefore |   .0117133   .0019464     6.02   0.000     .0078985    .0155282
 dummy_dayafter |    .001629   .0024401     0.67   0.504    -.0031536    .0064116
           reSP |   .1124691   .0542577     2.07   0.038      .006126    .2188121
          reLib |   .0474837   .0434459     1.09   0.274    -.0376687    .1326362
        reTnote |  -.1049679    .031984    -3.28   0.001    -.1676555   -.0422804
           reCR |   .3598036   .0971961     3.70   0.000     .1693028    .5503045
          reBDI |  -.0303849   .0244013    -1.25   0.213    -.0782106    .0174408
      reCL2011Q |  -.0555001   .0654733    -0.85   0.397    -.1838254    .0728252
          _cons |  -.0005457   .0005171    -1.06   0.291    -.0015591    .0004678
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.21e-16    .073982     0.00   1.000    -.1450021    .1450021
                |
          garch |
            L1. |  -1.53e-17          .        .       .            .           .
                |
          _cons |   .0000506   8.45e-06     5.99   0.000     .0000341    .0000672
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011Q]dummy_eventday = 0

           chi2(  1) =   39.82
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011Q]dummy_daybefore = 0

           chi2(  1) =   36.22
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011Q]dummy_dayafter = 0

           chi2(  1) =    0.45
         Prob > chi2 =    0.5044
(250 observations deleted)
(797 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  716.48369
                                                                 (not concave)
Gradient vector (length = 15340.24):
          reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -8.39e-06        -1.74e-06        -8.02e-06        -.7556673        -5.842395        -4.824661        -4.008157

          reQL2011U:       reQL2011U:       reQL2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000005         __000006            _cons            _cons
r1         -5.34973        -3.851926          75.1383         13.36055        -.7766893        -15340.05        -.4026078
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  716.48369
                                                                 (not concave)
Gradient vector (length = 15340.24):
          reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:       reQL2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.31e-06         .0000327        -6.00e-07        -.7556673        -5.842394        -4.824661        -4.008157

          reQL2011U:       reQL2011U:       reQL2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000005         __000006            _cons            _cons
r1        -5.349728        -3.851926         75.13835         13.36055        -.7766893        -15340.05        -.4026078
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    646.17
Log pseudolikelihood =  716.4837                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011U |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011U       |
 dummy_eventday |   .0107892   .0017104     6.31   0.000     .0074368    .0141416
dummy_daybefore |   .0117017   .0019419     6.03   0.000     .0078956    .0155077
 dummy_dayafter |   .0016373   .0024464     0.67   0.503    -.0031577    .0064322
           reSP |   .1125358   .0543664     2.07   0.038     .0059796    .2190919
          reLib |   .0474416   .0433725     1.09   0.274     -.037567    .1324501
        reTnote |  -.1050407   .0319632    -3.29   0.001    -.1676875   -.0423939
           reCR |    .359293   .0964724     3.72   0.000     .1702105    .5483755
          reBDI |  -.0304007   .0243918    -1.25   0.213    -.0782078    .0174064
      reCL2011U |  -.0556916   .0657409    -0.85   0.397    -.1845413    .0731582
          _cons |  -.0005456   .0005172    -1.05   0.291    -.0015592    .0004681
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.21e-16   .0739928     0.00   1.000    -.1450232    .1450232
                |
          garch |
            L1. |  -1.55e-17          .        .       .            .           .
                |
          _cons |   .0000506   8.45e-06     5.99   0.000     .0000341    .0000672
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011U]dummy_eventday = 0

           chi2(  1) =   39.79
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011U]dummy_daybefore = 0

           chi2(  1) =   36.31
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011U]dummy_dayafter = 0

           chi2(  1) =    0.45
         Prob > chi2 =    0.5033
(271 observations deleted)
(817 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  724.84456
                                                                 (not concave)
Gradient vector (length = 12563.91):
          reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000124        -8.82e-06         6.85e-06        -.4849271        -5.298939        -4.309185         -3.76404

          reQL2011V:       reQL2011V:       reQL2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000005         __000006            _cons            _cons
r1        -3.204751         -3.21825         24.80461         16.11581        -.5851326        -12563.87        -.3165267
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  724.84456
                                                                 (not concave)
Gradient vector (length = 12563.91):
          reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:       reQL2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         9.61e-06         .0000223         -.000033         -.484926        -5.298939        -4.309184        -3.764039

          reQL2011V:       reQL2011V:       reQL2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000005         __000006            _cons            _cons
r1        -3.204753        -3.218249         24.80462         16.11581        -.5851326        -12563.87        -.3165267
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    590.39
Log pseudolikelihood =  724.8446                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011V       |
 dummy_eventday |   .0095088   .0016589     5.73   0.000     .0062574    .0127601
dummy_daybefore |   .0114262     .00189     6.05   0.000     .0077218    .0151307
 dummy_dayafter |    .001989    .002373     0.84   0.402     -.002662      .00664
           reSP |   .1045002   .0530383     1.97   0.049      .000547    .2084535
          reLib |   .0386619   .0461777     0.84   0.402    -.0518448    .1291686
        reTnote |  -.0918577   .0311127    -2.95   0.003    -.1528375   -.0308779
           reCR |   .3279411     .08996     3.65   0.000     .1516226    .5042595
          reBDI |  -.0317528    .023358    -1.36   0.174    -.0775336     .014028
      reCL2011V |   -.046998   .0649291    -0.72   0.469    -.1742568    .0802607
          _cons |  -.0005428   .0004976    -1.09   0.275    -.0015182    .0004325
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   5.57e-16   .0856914     0.00   1.000    -.1679521    .1679521
                |
          garch |
            L1. |  -7.23e-17          .        .       .            .           .
                |
          _cons |   .0000466   8.38e-06     5.56   0.000     .0000301     .000063
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011V]dummy_eventday = 0

           chi2(  1) =   32.86
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011V]dummy_daybefore = 0

           chi2(  1) =   36.55
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011V]dummy_dayafter = 0

           chi2(  1) =    0.70
         Prob > chi2 =    0.4019
(292 observations deleted)
(839 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  724.84529
                                                                 (not concave)
Gradient vector (length = 12667.09):
          reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         8.05e-06        -7.02e-06         .0000157        -.4786219        -5.299104        -4.299734        -3.763544

          reQL2011X:       reQL2011X:       reQL2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000005         __000006            _cons            _cons
r1         -3.20553        -3.217571         24.45195         16.14069        -.5899613        -12667.05        -.3187244
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  724.84529
                                                                 (not concave)
Gradient vector (length = 12667.09):
          reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:       reQL2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000257          .000032        -1.67e-06        -.4786211        -5.299103        -4.299733        -3.763544

          reQL2011X:       reQL2011X:       reQL2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000005         __000006            _cons            _cons
r1        -3.205526         -3.21757         24.45194         16.14069        -.5899613        -12667.05        -.3187244
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    566.64
Log pseudolikelihood =  724.8453                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011X       |
 dummy_eventday |    .009513   .0016611     5.73   0.000     .0062573    .0127686
dummy_daybefore |   .0114232   .0018891     6.05   0.000     .0077206    .0151258
 dummy_dayafter |    .001986    .002376     0.84   0.403    -.0026708    .0066428
           reSP |   .1044846   .0531189     1.97   0.049     .0003734    .2085957
          reLib |   .0386438    .046131     0.84   0.402    -.0517714     .129059
        reTnote |  -.0919127   .0310969    -2.96   0.003    -.1528616   -.0309638
           reCR |   .3273481   .0893795     3.66   0.000     .1521674    .5025288
          reBDI |  -.0317396   .0233559    -1.36   0.174    -.0775163     .014037
      reCL2011X |  -.0469457   .0652001    -0.72   0.472    -.1747355    .0808441
          _cons |  -.0005426   .0004977    -1.09   0.276    -.0015182    .0004329
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   5.57e-16   .0859248     0.00   1.000    -.1684095    .1684095
                |
          garch |
            L1. |  -7.26e-17          .        .       .            .           .
                |
          _cons |   .0000466   8.40e-06     5.54   0.000     .0000301     .000063
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011X]dummy_eventday = 0

           chi2(  1) =   32.80
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011X]dummy_daybefore = 0

           chi2(  1) =   36.56
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011X]dummy_dayafter = 0

           chi2(  1) =    0.70
         Prob > chi2 =    0.4032
(312 observations deleted)
(1164 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  724.84942
                                                                 (not concave)
Gradient vector (length = 12732.35):
          reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1          .000016         1.72e-06         1.77e-06        -.4752098        -5.300077        -4.288107         -3.76426

          reQL2011Z:       reQL2011Z:       reQL2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000005         __000006            _cons            _cons
r1        -3.206529         -3.20685         23.57956         16.17255        -.5930003        -12732.32        -.3199854
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  724.84942
                                                                 (not concave)
Gradient vector (length = 12732.35):
          reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:       reQL2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000118         -.000038        -.0000365        -.4752092        -5.300078        -4.288106         -3.76426

          reQL2011Z:       reQL2011Z:       reQL2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000005         __000006            _cons            _cons
r1        -3.206533         -3.20685         23.57948         16.17255        -.5930003        -12732.32        -.3199854
------------------------------------------------------------------------------

ARCH family regression

Sample: 393 - 595                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    567.36
Log pseudolikelihood =  724.8494                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reQL2011Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reQL2011Z       |
 dummy_eventday |   .0095181    .001663     5.72   0.000     .0062587    .0127775
dummy_daybefore |   .0114215    .001888     6.05   0.000      .007721     .015122
 dummy_dayafter |   .0019904   .0023802     0.84   0.403    -.0026747    .0066555
           reSP |   .1044933    .053151     1.97   0.049     .0003193    .2086672
          reLib |   .0386228   .0460699     0.84   0.402    -.0516726    .1289182
        reTnote |   -.091925   .0310845    -2.96   0.003    -.1528494   -.0310005
           reCR |   .3271337   .0888698     3.68   0.000     .1529521    .5013153
          reBDI |  -.0317328   .0233514    -1.36   0.174    -.0775006    .0140351
      reCL2011Z |  -.0472534    .065508    -0.72   0.471    -.1756468    .0811399
          _cons |  -.0005425   .0004979    -1.09   0.276    -.0015185    .0004334
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.39e-16   .0861311     0.00   1.000    -.1688139    .1688139
                |
          garch |
            L1. |  -1.82e-17          .        .       .            .           .
                |
          _cons |   .0000466   8.42e-06     5.53   0.000     .0000301    .0000631
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)

 ( 1)  [reQL2011Z]dummy_eventday = 0

           chi2(  1) =   32.76
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011Z]dummy_daybefore = 0

           chi2(  1) =   36.60
         Prob > chi2 =    0.0000

 ( 1)  [reQL2011Z]dummy_dayafter = 0

           chi2(  1) =    0.70
         Prob > chi2 =    0.4030
(note: file C:/yourdirectory/temp_garch.dta not found)
file C:/yourdirectory/temp_garch.dta saved
(392 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010V |    200    0.99537      0.690    -0.852    0.80293
resid_~2010X |    200    0.99655      0.515    -1.526    0.93656
resid_~2010Z |    200    0.99682      0.474    -1.717    0.95699
resid_~2011F |    200    0.99672      0.490    -1.643    0.94986
resid_~2011G |    200    0.99673      0.487    -1.655    0.95101
resid_~2011H |    200    0.99674      0.486    -1.659    0.95149
resid_~2011J |    200    0.99524      0.710    -0.789    0.78485
resid_~2011K |    200    0.99527      0.705    -0.803    0.78893
resid_~2011M |    200    0.99529      0.703    -0.812    0.79155
resid_~2011N |    200    0.99516      0.722    -0.751    0.77354
resid_~2011Q |    200    0.99516      0.723    -0.748    0.77269
resid_~2011U |    200    0.99514      0.725    -0.739    0.76989
resid_~2011V |    200    0.99143      1.278     0.565    0.28608
resid_~2011X |    200    0.99141      1.282     0.571    0.28405
resid_~2011Z |    200    0.99142      1.280     0.569    0.28476
Jarque-Bera normality test:  .7602 Chi(2)  .6838
Jarque-Bera test for Ho: normality: (resid_QL_2010V)
Jarque-Bera normality test:  .1724 Chi(2)  .9174
Jarque-Bera test for Ho: normality: (resid_QL_2010X)
Jarque-Bera normality test:  .0517 Chi(2)  .9745
Jarque-Bera test for Ho: normality: (resid_QL_2010Z)
Jarque-Bera normality test:  .0222 Chi(2)   .989
Jarque-Bera test for Ho: normality: (resid_QL_2011F)
Jarque-Bera normality test:  .0255 Chi(2)  .9873
Jarque-Bera test for Ho: normality: (resid_QL_2011G)
Jarque-Bera normality test:  .0292 Chi(2)  .9855
Jarque-Bera test for Ho: normality: (resid_QL_2011H)
Jarque-Bera normality test:  .9002 Chi(2)  .6376
Jarque-Bera test for Ho: normality: (resid_QL_2011J)
Jarque-Bera normality test:  .8951 Chi(2)  .6392
Jarque-Bera test for Ho: normality: (resid_QL_2011K)
Jarque-Bera normality test:  .8909 Chi(2)  .6405
Jarque-Bera test for Ho: normality: (resid_QL_2011M)
Jarque-Bera normality test:  1.578 Chi(2)  .4542
Jarque-Bera test for Ho: normality: (resid_QL_2011N)
Jarque-Bera normality test:  1.587 Chi(2)  .4522
Jarque-Bera test for Ho: normality: (resid_QL_2011Q)
Jarque-Bera normality test:  1.593 Chi(2)  .4509
Jarque-Bera test for Ho: normality: (resid_QL_2011U)
Jarque-Bera normality test:   .887 Chi(2)  .6418
Jarque-Bera test for Ho: normality: (resid_QL_2011V)
Jarque-Bera normality test:  .8943 Chi(2)  .6394
Jarque-Bera test for Ho: normality: (resid_QL_2011X)
Jarque-Bera normality test:  .8983 Chi(2)  .6382
Jarque-Bera test for Ho: normality: (resid_QL_2011Z)
file C:/yourdirectory/output/graham_resids_QL_garch_12mo.dta saved
(392 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_QL_garch_12mo.dta saved
(594 observations deleted)
(note: j = 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110 201111 201112)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      15
Number of variables                 136   ->      11
j variable (15 values)                    ->   contract
xij variables:
b_QL_garch_Day201010 b_QL_garch_Day201011 ... b_QL_garch_Day201112->b_QL_garch_Day
se_QL_garch_Day201010 se_QL_garch_Day201011 ... se_QL_garch_Day201112->se_QL_garch_Day
p_QL_garch_Day201010 p_QL_garch_Day201011 ... p_QL_garch_Day201112->p_QL_garch_Day
b_QL_garch_Before201010 b_QL_garch_Before201011 ... b_QL_garch_Before201112->b_QL_garch_Before
se_QL_garch_Before201010 se_QL_garch_Before201011 ... se_QL_garch_Before201112->se_QL_garch_Before
p_QL_garch_Before201010 p_QL_garch_Before201011 ... p_QL_garch_Before201112->p_QL_garch_Before
b_QL_garch_After201010 b_QL_garch_After201011 ... b_QL_garch_After201112->b_QL_garch_After
se_QL_garch_After201010 se_QL_garch_After201011 ... se_QL_garch_After201112->se_QL_garch_After
p_QL_garch_After201010 p_QL_garch_After201011 ... p_QL_garch_After201112->p_QL_garch_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_QL_garch.dta not found)
file C:/yourdirectory/output/coeffs_QL_garch.dta saved
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(819 missing values generated)
(819 real changes made)
(13148 observations deleted)
(5893 observations deleted)
(11810 observations deleted)
(1013 observations deleted)
(5144 observations deleted)
(427 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(736 real changes made)
(203 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.96
       Model |  .004575983     6  .000762664           Prob > F      =  0.0000
    Residual |  .016685429   196   .00008513           R-squared     =  0.2152
-------------+------------------------------           Adj R-squared =  0.1912
       Total |  .021261412   202  .000105255           Root MSE      =  .00923

------------------------------------------------------------------------------
   reQL2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1122309   .0807425     1.39   0.166    -.0470047    .2714666
       reLib |   .1105233   .0433772     2.55   0.012     .0249773    .1960693
     reTnote |   -.168991   .0442697    -3.82   0.000    -.2562971   -.0816848
        reCR |   .4885363   .1216845     4.01   0.000     .2485574    .7285153
       reBDI |  -.0383127   .0250895    -1.53   0.128    -.0877926    .0111673
   reCL2010V |  -.0575998   .0774828    -0.74   0.458    -.2104069    .0952073
       _cons |  -.0004751   .0006564    -0.72   0.470    -.0017695    .0008193
------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)
(104 observations deleted)
(444 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    9.00
       Model |  .004550995     6  .000758499           Prob > F      =  0.0000
    Residual |  .016514969   196   .00008426           R-squared     =  0.2160
-------------+------------------------------           Adj R-squared =  0.1920
       Total |  .021065964   202  .000104287           Root MSE      =  .00918

------------------------------------------------------------------------------
   reQL2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1179372   .0806636     1.46   0.145    -.0411427    .2770171
       reLib |   .1085089   .0431521     2.51   0.013      .023407    .1936109
     reTnote |    -.16718   .0439853    -3.80   0.000    -.2539253   -.0804347
        reCR |    .496513   .1220216     4.07   0.000     .2558691    .7371569
       reBDI |  -.0391462   .0249637    -1.57   0.118    -.0883782    .0100858
   reCL2010X |  -.0682292   .0795114    -0.86   0.392    -.2250369    .0885785
       _cons |   -.000363   .0006529    -0.56   0.579    -.0016507    .0009247
------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)
(124 observations deleted)
(1018 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 737
                delta:  1 unit
(736 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    9.04
       Model |  .004471016     6  .000745169           Prob > F      =  0.0000
    Residual |  .016151103   196  .000082404           R-squared     =  0.2168
-------------+------------------------------           Adj R-squared =  0.1928
       Total |   .02062212   202   .00010209           Root MSE      =  .00908

------------------------------------------------------------------------------
   reQL2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1196929   .0799847     1.50   0.136    -.0380482     .277434
       reLib |   .1069713    .042681     2.51   0.013     .0227983    .1911444
     reTnote |  -.1595575   .0434793    -3.67   0.000    -.2453048   -.0738101
        reCR |   .5003854   .1212018     4.13   0.000     .2613583    .7394125
       reBDI |  -.0399844    .024694    -1.62   0.107    -.0886844    .0087156
   reCL2010Z |  -.0763483    .080642    -0.95   0.345    -.2353858    .0826892
       _cons |  -.0002832   .0006455    -0.44   0.661    -.0015562    .0009897
------------------------------------------------------------------------------
(534 missing values generated)
(534 missing values generated)
(223 observations deleted)
(628 observations deleted)
(595 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.65
       Model |  .003515753     6  .000585959           Prob > F      =  0.0000
    Residual |  .013281282   196  .000067762           R-squared     =  0.2093
-------------+------------------------------           Adj R-squared =  0.1851
       Total |  .016797035   202  .000083154           Root MSE      =  .00823

------------------------------------------------------------------------------
   reQL2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1366981   .0726079     1.88   0.061    -.0064949    .2798911
       reLib |   .0747042   .0387065     1.93   0.055    -.0016304    .1510389
     reTnote |  -.1245296   .0394217    -3.16   0.002    -.2022748   -.0467844
        reCR |   .4463489   .1099748     4.06   0.000     .2294631    .6632347
       reBDI |  -.0402325   .0223983    -1.80   0.074     -.084405    .0039401
   reCL2011F |  -.0849205   .0739965    -1.15   0.253    -.2308521     .061011
       _cons |  -.0003749   .0005851    -0.64   0.522    -.0015288     .000779
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(102 observations deleted)
(649 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.66
       Model |  .003520773     6  .000586796           Prob > F      =  0.0000
    Residual |  .013276261   196  .000067736           R-squared     =  0.2096
-------------+------------------------------           Adj R-squared =  0.1854
       Total |  .016797035   202  .000083154           Root MSE      =  .00823

------------------------------------------------------------------------------
   reQL2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1374954    .072637     1.89   0.060     -.005755    .2807458
       reLib |   .0746276   .0386993     1.93   0.055    -.0016929    .1509481
     reTnote |  -.1249898   .0394157    -3.17   0.002    -.2027232   -.0472564
        reCR |   .4483641    .109543     4.09   0.000     .2323299    .6643983
       reBDI |  -.0403125   .0223959    -1.80   0.073    -.0844803    .0038554
   reCL2011G |  -.0878357   .0744567    -1.18   0.240    -.2346748    .0590034
       _cons |  -.0003738   .0005849    -0.64   0.524    -.0015272    .0007796
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(121 observations deleted)
(671 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.68
       Model |  .003526839     6  .000587806           Prob > F      =  0.0000
    Residual |  .013270196   196  .000067705           R-squared     =  0.2100
-------------+------------------------------           Adj R-squared =  0.1858
       Total |  .016797035   202  .000083154           Root MSE      =  .00823

------------------------------------------------------------------------------
   reQL2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1382576   .0726304     1.90   0.058    -.0049798     .281495
       reLib |   .0744786   .0386936     1.92   0.056    -.0018306    .1507878
     reTnote |  -.1250615   .0394072    -3.17   0.002    -.2027781    -.047345
        reCR |   .4505372    .108946     4.14   0.000     .2356802    .6653942
       reBDI |  -.0403402   .0223904    -1.80   0.073    -.0844972    .0038168
   reCL2011H |  -.0909619   .0747225    -1.22   0.225    -.2383252    .0564015
       _cons |  -.0003731   .0005846    -0.64   0.524    -.0015261    .0007798
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(144 observations deleted)
(691 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.22
       Model |  .003047234     6  .000507872           Prob > F      =  0.0000
    Residual |  .012106211   196  .000061766           R-squared     =  0.2011
-------------+------------------------------           Adj R-squared =  0.1766
       Total |  .015153445   202  .000075017           Root MSE      =  .00786

------------------------------------------------------------------------------
   reQL2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1263535   .0693762     1.82   0.070    -.0104661    .2631731
       reLib |    .061011   .0369554     1.65   0.100    -.0118703    .1338924
     reTnote |  -.1130365     .03764    -3.00   0.003    -.1872679   -.0388051
        reCR |   .4054846   .1035593     3.92   0.000      .201251    .6097181
       reBDI |  -.0341635   .0213858    -1.60   0.112    -.0763393    .0080123
   reCL2011J |  -.0687224   .0716658    -0.96   0.339    -.2100575    .0726127
       _cons |  -.0003967   .0005583    -0.71   0.478    -.0014978    .0007044
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(164 observations deleted)
(711 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.23
       Model |  .003048421     6   .00050807           Prob > F      =  0.0000
    Residual |  .012105024   196   .00006176           R-squared     =  0.2012
-------------+------------------------------           Adj R-squared =  0.1767
       Total |  .015153445   202  .000075017           Root MSE      =  .00786

------------------------------------------------------------------------------
   reQL2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1265633   .0693801     1.82   0.070     -.010264    .2633907
       reLib |   .0609902   .0369535     1.65   0.100    -.0118875    .1338678
     reTnote |  -.1130997   .0376389    -3.00   0.003     -.187329   -.0388705
        reCR |   .4055117   .1029764     3.94   0.000     .2024277    .6085957
       reBDI |   -.034169   .0213846    -1.60   0.112    -.0763424    .0080044
   reCL2011K |  -.0696388   .0718709    -0.97   0.334    -.2113783    .0721007
       _cons |  -.0003964   .0005583    -0.71   0.479    -.0014973    .0007046
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(185 observations deleted)
(733 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    8.23
       Model |  .003050132     6  .000508355           Prob > F      =  0.0000
    Residual |  .012103313   196  .000061752           R-squared     =  0.2013
-------------+------------------------------           Adj R-squared =  0.1768
       Total |  .015153445   202  .000075017           Root MSE      =  .00786

------------------------------------------------------------------------------
   reQL2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1267324   .0693505     1.83   0.069    -.0100366    .2635015
       reLib |   .0609541   .0369512     1.65   0.101    -.0119189    .1338271
     reTnote |  -.1131638   .0376371    -3.01   0.003    -.1873894   -.0389381
        reCR |   .4059369   .1024631     3.96   0.000     .2038653    .6080085
       reBDI |  -.0342053   .0213841    -1.60   0.111    -.0763778    .0079671
   reCL2011M |  -.0708141   .0720235    -0.98   0.327    -.2128546    .0712264
       _cons |  -.0003964   .0005582    -0.71   0.478    -.0014973    .0007044
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(207 observations deleted)
(754 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.74
       Model |  .002493711     6  .000415619           Prob > F      =  0.0000
    Residual |   .01052726   196  .000053711           R-squared     =  0.1915
-------------+------------------------------           Adj R-squared =  0.1668
       Total |  .013020971   202   .00006446           Root MSE      =  .00733

------------------------------------------------------------------------------
   reQL2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1083613   .0646604     1.68   0.095     -.019158    .2358807
       reLib |   .0539697   .0344598     1.57   0.119    -.0139898    .1219291
     reTnote |  -.1035534   .0351026    -2.95   0.004    -.1727807    -.034326
        reCR |   .3509931   .0950163     3.69   0.000     .1636075    .5383787
       reBDI |  -.0283023   .0199443    -1.42   0.157    -.0676353    .0110308
   reCL2011N |  -.0444474   .0672289    -0.66   0.509    -.1770324    .0881375
       _cons |  -.0004191   .0005206    -0.81   0.422    -.0014457    .0006075
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(227 observations deleted)
(774 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.74
       Model |  .002493761     6  .000415627           Prob > F      =  0.0000
    Residual |   .01052721   196   .00005371           R-squared     =  0.1915
-------------+------------------------------           Adj R-squared =  0.1668
       Total |  .013020971   202   .00006446           Root MSE      =  .00733

------------------------------------------------------------------------------
   reQL2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1083643   .0646566     1.68   0.095    -.0191477    .2358763
       reLib |   .0539543   .0344609     1.57   0.119    -.0140075    .1219161
     reTnote |   -.103595   .0351037    -2.95   0.004    -.1728244   -.0343656
        reCR |   .3505233   .0944362     3.71   0.000     .1642817    .5367648
       reBDI |  -.0283112   .0199449    -1.42   0.157    -.0676453    .0110229
   reCL2011Q |  -.0445416   .0672996    -0.66   0.509    -.1772658    .0881827
       _cons |  -.0004189   .0005205    -0.80   0.422    -.0014455    .0006076
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(250 observations deleted)
(797 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.74
       Model |  .002493838     6   .00041564           Prob > F      =  0.0000
    Residual |  .010527133   196   .00005371           R-squared     =  0.1915
-------------+------------------------------           Adj R-squared =  0.1668
       Total |  .013020971   202   .00006446           Root MSE      =  .00733

------------------------------------------------------------------------------
   reQL2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1084201   .0646712     1.68   0.095    -.0191207    .2359609
       reLib |   .0539195   .0344638     1.56   0.119    -.0140479     .121887
     reTnote |  -.1036557   .0351054    -2.95   0.004    -.1728885   -.0344228
        reCR |   .3501375   .0939241     3.73   0.000     .1649059    .5353692
       reBDI |  -.0283304   .0199461    -1.42   0.157    -.0676669    .0110062
   reCL2011U |  -.0447243   .0674648    -0.66   0.508    -.1777745    .0883259
       _cons |  -.0004189   .0005205    -0.80   0.422    -.0014454    .0006077
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(271 observations deleted)
(817 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.35
       Model |  .002176225     6  .000362704           Prob > F      =  0.0000
    Residual |  .009672579   196   .00004935           R-squared     =  0.1837
-------------+------------------------------           Adj R-squared =  0.1587
       Total |  .011848804   202  .000058657           Root MSE      =  .00702

------------------------------------------------------------------------------
   reQL2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1003776    .061995     1.62   0.107    -.0218853    .2226405
       reLib |   .0448634   .0330359     1.36   0.176     -.020288    .1100148
     reTnote |  -.0905577   .0336523    -2.69   0.008    -.1569247   -.0241906
        reCR |   .3184167   .0895735     3.55   0.000     .1417652    .4950683
       reBDI |  -.0290752   .0191205    -1.52   0.130    -.0667836    .0086332
   reCL2011V |   -.035697   .0647789    -0.55   0.582    -.1634501    .0920561
       _cons |  -.0004205   .0004989    -0.84   0.400    -.0014045    .0005635
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(292 observations deleted)
(839 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.35
       Model |  .002176079     6   .00036268           Prob > F      =  0.0000
    Residual |  .009672725   196  .000049351           R-squared     =  0.1837
-------------+------------------------------           Adj R-squared =  0.1587
       Total |  .011848804   202  .000058657           Root MSE      =  .00703

------------------------------------------------------------------------------
   reQL2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1003491   .0620029     1.62   0.107    -.0219293    .2226276
       reLib |   .0448513   .0330381     1.36   0.176    -.0203045    .1100071
     reTnote |  -.0905984   .0336545    -2.69   0.008    -.1569699    -.024227
        reCR |   .3179008   .0891219     3.57   0.000     .1421397    .4936618
       reBDI |  -.0290679   .0191203    -1.52   0.130    -.0667758    .0086399
   reCL2011X |  -.0355915   .0649042    -0.55   0.584    -.1635917    .0924088
       _cons |  -.0004203   .0004989    -0.84   0.401    -.0014043    .0005637
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(312 observations deleted)
(1164 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 595
                delta:  1 unit
(594 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.35
       Model |  .002176268     6  .000362711           Prob > F      =  0.0000
    Residual |  .009672536   196   .00004935           R-squared     =  0.1837
-------------+------------------------------           Adj R-squared =  0.1587
       Total |  .011848804   202  .000058657           Root MSE      =  .00702

------------------------------------------------------------------------------
   reQL2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .1003641   .0619822     1.62   0.107    -.0218736    .2226017
       reLib |    .044835   .0330388     1.36   0.176    -.0203222    .1099922
     reTnote |  -.0906089   .0336546    -2.69   0.008    -.1569804   -.0242374
        reCR |   .3177776   .0886622     3.58   0.000     .1429232    .4926319
       reBDI |  -.0290645   .0191195    -1.52   0.130    -.0667708    .0086418
   reCL2011Z |  -.0358665   .0649921    -0.55   0.582    -.1640402    .0923072
       _cons |  -.0004202   .0004989    -0.84   0.401    -.0014042    .0005637
------------------------------------------------------------------------------
(392 missing values generated)
(392 missing values generated)
(note: file C:/yourdirectory/temp_compositeindex.dta not found)
file C:/yourdirectory/temp_compositeindex.dta saved
file C:/yourdirectory/output/graham_coeffs_QL_12mo.dta saved
file C:/yourdirectory/output/graham_coeffs_QL_12mo.dta saved
(results base_QL_2010V are active now)
(results nocovar_QL_2010V are active now)
(results garch_QL_2010V are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2010V.tex
dir : seeout
(results base_QL_2010X are active now)
(results nocovar_QL_2010X are active now)
(results garch_QL_2010X are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2010X.tex
dir : seeout
(results base_QL_2010Z are active now)
(results nocovar_QL_2010Z are active now)
(results garch_QL_2010Z are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2010Z.tex
dir : seeout
(results base_QL_2011F are active now)
(results nocovar_QL_2011F are active now)
(results garch_QL_2011F are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011F.tex
dir : seeout
(results base_QL_2011G are active now)
(results nocovar_QL_2011G are active now)
(results garch_QL_2011G are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011G.tex
dir : seeout
(results base_QL_2011H are active now)
(results nocovar_QL_2011H are active now)
(results garch_QL_2011H are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011H.tex
dir : seeout
(results base_QL_2011J are active now)
(results nocovar_QL_2011J are active now)
(results garch_QL_2011J are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011J.tex
dir : seeout
(results base_QL_2011K are active now)
(results nocovar_QL_2011K are active now)
(results garch_QL_2011K are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011K.tex
dir : seeout
(results base_QL_2011M are active now)
(results nocovar_QL_2011M are active now)
(results garch_QL_2011M are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011M.tex
dir : seeout
(results base_QL_2011N are active now)
(results nocovar_QL_2011N are active now)
(results garch_QL_2011N are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011N.tex
dir : seeout
(results base_QL_2011Q are active now)
(results nocovar_QL_2011Q are active now)
(results garch_QL_2011Q are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011Q.tex
dir : seeout
(results base_QL_2011U are active now)
(results nocovar_QL_2011U are active now)
(results garch_QL_2011U are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011U.tex
dir : seeout
(results base_QL_2011V are active now)
(results nocovar_QL_2011V are active now)
(results garch_QL_2011V are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011V.tex
dir : seeout
(results base_QL_2011X are active now)
(results nocovar_QL_2011X are active now)
(results garch_QL_2011X are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011X.tex
dir : seeout
(results base_QL_2011Z are active now)
(results nocovar_QL_2011Z are active now)
(results garch_QL_2011Z are active now)
C:/yourdirectory/output/tex/graham/12mo/QL_2011Z.tex
dir : seeout
(392 observations deleted)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.69
                                                      Prob > F      =   0.1706
Total (centered) SS     =  189.7404364                Centered R2   =   0.0299
Total (uncentered) SS   =  189.7404364                Uncentered R2 =   0.0299
Residual SS             =  184.0613003                Root MSE      =    .9617

---------------------------------------------------------------------------------
    mean_resids |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   1.711045   .9660993     1.77   0.078     -.194061    3.616151
dummy_daybefore |   1.672829    .965275     1.73   0.085    -.2306513     3.57631
 dummy_dayafter |   .1159432    .965275     0.12   0.905    -1.787537    2.019424
          _cons |  -.0172405   .0727946    -0.24   0.813    -.1607883    .1263073
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.14
            Prob > F =    0.0781

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    3.00
            Prob > F =    0.0846

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9045

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.92
                                                      Prob > F      =   0.1278
Total (centered) SS     =  173.2616788                Centered R2   =   0.0345
Total (uncentered) SS   =  173.2616788                Uncentered R2 =   0.0345
Residual SS             =  167.2881792                Root MSE      =    .9169

---------------------------------------------------------------------------------
composite_ind~1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   1.691506   .9209442     1.84   0.068    -.1245562    3.507568
dummy_daybefore |   1.762235   .9201594     1.92   0.057    -.0522794    3.576749
 dummy_dayafter |    .274417   .9201594     0.30   0.766    -1.540097    2.088931
          _cons |  -.0183651   .0690783    -0.27   0.791    -.1545846    .1178544
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    3.37
            Prob > F =    0.0677

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    3.67
            Prob > F =    0.0569

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.09
            Prob > F =    0.7658
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
composite_~1 |    200    0.99561      0.654    -0.976    0.83557
Jarque-Bera normality test:  1.078 Chi(2)  .5833
Jarque-Bera test for Ho: normality: (composite_index)
file C:/yourdirectory/output/graham_kdensity_QL_compositeindex_12mo.dta saved
file C:/yourdirectory/output/graham_resids_QL_compositeindex_12mo.dta saved
file C:/yourdirectory/output/graham_kdensity_QL_compositeindex_12mo.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(12461 observations deleted)
(5232 observations deleted)
(11146 observations deleted)
(722 observations deleted)
(4664 observations deleted)
(235 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(1072 real changes made)
(203 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =   2.09386

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.61
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .1133107336                Centered R2   =   0.2057
Total (uncentered) SS   =   .114374342                Uncentered R2 =   0.2131
Residual SS             =  .0900015726                Root MSE      =   .02159

---------------------------------------------------------------------------------
      reNG2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0043828   .0219645     0.20   0.842    -.0389385     .047704
dummy_daybefore |   .0363437   .0223375     1.63   0.105    -.0077132    .0804006
 dummy_dayafter |    .029003   .0225405     1.29   0.200    -.0154544    .0734604
           reSP |    .088411   .1925998     0.46   0.647    -.2914596    .4682816
          reLib |   .0345016   .0952909     0.36   0.718    -.1534437     .222447
        reTnote |   -.022374   .1026674    -0.22   0.828    -.2248681    .1801201
           reCR |   1.944117    .287791     6.76   0.000     1.376498    2.511737
          reBDI |  -.0687558   .0600787    -1.14   0.254    -.1872509    .0497393
      reCL2010V |  -1.053767   .1833906    -5.75   0.000    -1.415474   -.6920604
          _cons |  -.0035649   .0013296    -2.68   0.008    -.0061872   -.0009425
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010V
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.04
            Prob > F =    0.8421

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.65
            Prob > F =    0.1054

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.66
            Prob > F =    0.1997
(434 observations deleted)
(108 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.122529

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.59
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0781643847                Centered R2   =   0.2054
Total (uncentered) SS   =  .0793660565                Uncentered R2 =   0.2174
Residual SS             =  .0621104033                Root MSE      =   .01794

---------------------------------------------------------------------------------
      reNG2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0039896   .0182395     0.22   0.827    -.0319848     .039964
dummy_daybefore |   .0325415   .0185525     1.75   0.081    -.0040503    .0691332
 dummy_dayafter |   .0286566   .0187405     1.53   0.128    -.0083059    .0656192
           reSP |   .1098584   .1609894     0.68   0.496    -.2076661    .4273829
          reLib |   .0415645   .0787327     0.53   0.598    -.1137225    .1968514
        reTnote |  -.0187024   .0853921    -0.22   0.827    -.1871239    .1497192
           reCR |   1.606249   .2408584     6.67   0.000     1.131197    2.081302
          reBDI |  -.0592592   .0492442    -1.20   0.230    -.1563852    .0378668
      reCL2010X |  -.8904479   .1575163    -5.65   0.000    -1.201122   -.5797735
          _cons |  -.0035067    .001096    -3.20   0.002    -.0056684    -.001345
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010X
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.05
            Prob > F =    0.8271

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    3.08
            Prob > F =    0.0810

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    2.34
            Prob > F =    0.1279
(434 observations deleted)
(682 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.105876

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.20
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0564313803                Centered R2   =   0.1940
Total (uncentered) SS   =  .0576300047                Uncentered R2 =   0.2108
Residual SS             =  .0454840348                Root MSE      =   .01535

---------------------------------------------------------------------------------
      reNG2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0032812   .0156014     0.21   0.834      -.02749    .0340524
dummy_daybefore |   .0273785   .0158896     1.72   0.086    -.0039611    .0587181
 dummy_dayafter |   .0271583   .0160304     1.69   0.092    -.0044589    .0587755
           reSP |   .1035549   .1376796     0.75   0.453    -.1679949    .3751048
          reLib |   .0339589   .0663611     0.51   0.609    -.0969273     .164845
        reTnote |  -.0051656   .0732766    -0.07   0.944    -.1496914    .1393601
           reCR |   1.314284   .2072386     6.34   0.000     .9055408    1.723027
          reBDI |  -.0542176   .0418382    -1.30   0.197    -.1367364    .0283011
      reCL2010Z |  -.7319779   .1385173    -5.28   0.000     -1.00518   -.4587758
          _cons |  -.0032836   .0009068    -3.62   0.000    -.0050722   -.0014951
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2010Z
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.04
            Prob > F =    0.8336

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.97
            Prob > F =    0.0865

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    2.87
            Prob > F =    0.0918
(205 observations deleted)
(150 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.115335

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.22
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0496975333                Centered R2   =   0.1944
Total (uncentered) SS   =  .0508550733                Uncentered R2 =   0.2128
Residual SS             =  .0400343058                Root MSE      =    .0144

---------------------------------------------------------------------------------
      reNG2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0034464   .0146369     0.24   0.814    -.0254225    .0323152
dummy_daybefore |   .0249408   .0149085     1.67   0.096    -.0044636    .0543453
 dummy_dayafter |   .0259277   .0150581     1.72   0.087    -.0037719    .0556273
           reSP |   .1011729   .1293851     0.78   0.435    -.1540174    .3563632
          reLib |   .0328101   .0619888     0.53   0.597    -.0894523    .1550726
        reTnote |  -.0143477   .0687505    -0.21   0.835    -.1499464    .1212511
           reCR |   1.235406   .1945993     6.35   0.000     .8515921    1.619221
          reBDI |  -.0506276   .0390677    -1.30   0.197     -.127682    .0264269
      reCL2011F |  -.6812658   .1317861    -5.17   0.000    -.9411917   -.4213399
          _cons |  -.0031556   .0008367    -3.77   0.000    -.0048059   -.0015054
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011F
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.06
            Prob > F =    0.8141

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.80
            Prob > F =    0.0960

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    2.96
            Prob > F =    0.0867
(226 observations deleted)
(171 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.120432

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     5.03
                                                      Prob > F      =   0.0000
Total (centered) SS     =   .047775571                Centered R2   =   0.1882
Total (uncentered) SS   =   .048916006                Uncentered R2 =   0.2071
Residual SS             =  .0387832408                Root MSE      =   .01418

---------------------------------------------------------------------------------
      reNG2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0031356   .0144049     0.22   0.828    -.0252757    .0315468
dummy_daybefore |   .0241016   .0146705     1.64   0.102    -.0048335    .0530368
 dummy_dayafter |   .0250458   .0148309     1.69   0.093    -.0042057    .0542973
           reSP |   .0941803   .1275466     0.74   0.461     -.157384    .3457445
          reLib |   .0305922   .0604934     0.51   0.614    -.0887208    .1499051
        reTnote |  -.0134498   .0676762    -0.20   0.843    -.1469298    .1200301
           reCR |   1.184917   .1906696     6.21   0.000     .8088529     1.56098
          reBDI |  -.0485153   .0382417    -1.27   0.206    -.1239407      .02691
      reCL2011G |  -.6544064   .1305237    -5.01   0.000    -.9118424   -.3969704
          _cons |  -.0030802   .0008039    -3.83   0.000    -.0046657   -.0014946
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011G
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.05
            Prob > F =    0.8279

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.70
            Prob > F =    0.1020

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    2.85
            Prob > F =    0.0929
(245 observations deleted)
(193 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.119982

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     4.72
                                                      Prob > F      =   0.0000
Total (centered) SS     =  .0466882593                Centered R2   =   0.1791
Total (uncentered) SS   =  .0477805753                Uncentered R2 =   0.1979
Residual SS             =  .0383258303                Root MSE      =   .01409

---------------------------------------------------------------------------------
      reNG2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0026416   .0143176     0.18   0.854    -.0255975    .0308807
dummy_daybefore |   .0231295   .0145894     1.59   0.115    -.0056456    .0519047
 dummy_dayafter |   .0236436   .0147508     1.60   0.111      -.00545    .0527371
           reSP |   .0857661    .126757     0.68   0.499    -.1642408    .3357729
          reLib |   .0303405   .0597215     0.51   0.612      -.08745     .148131
        reTnote |  -.0129455   .0672642    -0.19   0.848    -.1456128    .1197218
           reCR |   1.137684   .1888292     6.02   0.000     .7652498    1.510118
          reBDI |  -.0446005   .0378942    -1.18   0.241    -.1193405    .0301395
      reCL2011H |  -.6267761   .1305222    -4.80   0.000    -.8842091   -.3693431
          _cons |  -.0029754   .0007801    -3.81   0.000    -.0045139   -.0014368
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011H
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.03
            Prob > F =    0.8538

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.51
            Prob > F =    0.1145

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    2.57
            Prob > F =    0.1106
(268 observations deleted)
(213 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.037541

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.81
                                                      Prob > F      =   0.0002
Total (centered) SS     =   .037099997                Centered R2   =   0.1524
Total (uncentered) SS   =  .0379715208                Uncentered R2 =   0.1718
Residual SS             =  .0314472998                Root MSE      =   .01276

---------------------------------------------------------------------------------
      reNG2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0033216   .0129711     0.26   0.798    -.0222617    .0289048
dummy_daybefore |   .0207046   .0132355     1.56   0.119    -.0054002    .0468094
 dummy_dayafter |   .0178824   .0133856     1.34   0.183    -.0085183    .0442832
           reSP |   .0741256   .1144052     0.65   0.518    -.1515194    .2997706
          reLib |   .0279666    .053559     0.52   0.602    -.0776695    .1336027
        reTnote |  -.0094425   .0609283    -0.15   0.877    -.1296133    .1107284
           reCR |   .9174314   .1716208     5.35   0.000     .5789382    1.255924
          reBDI |  -.0253669   .0346314    -0.73   0.465    -.0936715    .0429377
      reCL2011J |  -.4964197   .1199258    -4.14   0.000    -.7329531   -.2598862
          _cons |  -.0025749   .0006856    -3.76   0.000    -.0039271   -.0012227
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011J
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7982

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.45
            Prob > F =    0.1194

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.78
            Prob > F =    0.1831
(288 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.024879

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.70
                                                      Prob > F      =   0.0003
Total (centered) SS     =  .0357574211                Centered R2   =   0.1488
Total (uncentered) SS   =  .0365820228                Uncentered R2 =   0.1680
Residual SS             =  .0304362075                Root MSE      =   .01256

---------------------------------------------------------------------------------
      reNG2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0034599   .0127644     0.27   0.787    -.0217157    .0286356
dummy_daybefore |   .0196686   .0130214     1.51   0.133    -.0060139     .045351
 dummy_dayafter |   .0170768   .0131631     1.30   0.196    -.0088853    .0430389
           reSP |   .0704897   .1124556     0.63   0.532    -.1513101    .2922895
          reLib |   .0274941   .0529248     0.52   0.604    -.0768913    .1318794
        reTnote |  -.0096509   .0599556    -0.16   0.872    -.1279033    .1086015
           reCR |   .8846489   .1679378     5.27   0.000     .5534198    1.215878
          reBDI |  -.0215231    .034214    -0.63   0.530    -.0890045    .0459583
      reCL2011K |  -.4772111   .1184405    -4.03   0.000    -.7108149   -.2436072
          _cons |  -.0024863   .0006821    -3.64   0.000    -.0038317   -.0011409
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011K
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7866

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.28
            Prob > F =    0.1326

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.68
            Prob > F =    0.1961
(309 observations deleted)
(255 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.023764

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.51
                                                      Prob > F      =   0.0005
Total (centered) SS     =  .0344330906                Centered R2   =   0.1426
Total (uncentered) SS   =  .0352409901                Uncentered R2 =   0.1623
Residual SS             =  .0295221405                Root MSE      =   .01237

---------------------------------------------------------------------------------
      reNG2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0029187   .0125726     0.23   0.817    -.0218786     .027716
dummy_daybefore |   .0188962   .0128227     1.47   0.142    -.0063945    .0441868
 dummy_dayafter |   .0162421   .0129596     1.25   0.212    -.0093184    .0418027
           reSP |   .0644717    .110665     0.58   0.561    -.1537963    .2827397
          reLib |   .0254708   .0521569     0.49   0.626    -.0773999    .1283415
        reTnote |  -.0126559   .0589971    -0.21   0.830    -.1290178     .103706
           reCR |   .8452472   .1646023     5.14   0.000     .5205967    1.169898
          reBDI |  -.0198724   .0337085    -0.59   0.556    -.0863567    .0466118
      reCL2011M |  -.4509553   .1169072    -3.86   0.000    -.6815351   -.2203756
          _cons |  -.0024382   .0006749    -3.61   0.000    -.0037694    -.001107
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011M
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.05
            Prob > F =    0.8167

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.17
            Prob > F =    0.1422

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.57
            Prob > F =    0.2116
(331 observations deleted)
(276 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.021119

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.43
                                                      Prob > F      =   0.0006
Total (centered) SS     =  .0330478719                Centered R2   =   0.1396
Total (uncentered) SS   =  .0338326337                Uncentered R2 =   0.1595
Residual SS             =  .0284350935                Root MSE      =   .01214

---------------------------------------------------------------------------------
      reNG2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0029724   .0123394     0.24   0.810    -.0213649    .0273098
dummy_daybefore |   .0181605   .0125841     1.44   0.151    -.0066596    .0429806
 dummy_dayafter |   .0156501    .012719     1.23   0.220     -.009436    .0407362
           reSP |   .0569127   .1085048     0.52   0.601    -.1570947    .2709201
          reLib |   .0226878   .0512017     0.44   0.658    -.0782991    .1236746
        reTnote |  -.0134039   .0578945    -0.23   0.817    -.1275911    .1007833
           reCR |   .8157902   .1606252     5.08   0.000      .498984    1.132597
          reBDI |  -.0186828   .0330987    -0.56   0.573    -.0839644    .0465988
      reCL2011N |  -.4320754   .1148149    -3.76   0.000    -.6585283   -.2056224
          _cons |  -.0023871   .0006626    -3.60   0.000     -.003694   -.0010802
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011N
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.06
            Prob > F =    0.8099

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    2.08
            Prob > F =    0.1506

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.51
            Prob > F =    0.2200
(351 observations deleted)
(296 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =   2.02138

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.34
                                                      Prob > F      =   0.0008
Total (centered) SS     =  .0322197807                Centered R2   =   0.1364
Total (uncentered) SS   =  .0329998962                Uncentered R2 =   0.1568
Residual SS             =  .0278242379                Root MSE      =   .01201

---------------------------------------------------------------------------------
      reNG2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0030996   .0122069     0.25   0.800    -.0209764    .0271757
dummy_daybefore |   .0175108   .0124476     1.41   0.161      -.00704    .0420615
 dummy_dayafter |   .0152261   .0125791     1.21   0.228    -.0095841    .0400363
           reSP |   .0578662   .1073248     0.54   0.590    -.1538139    .2695464
          reLib |   .0212094   .0505841     0.42   0.675    -.0785592     .120978
        reTnote |  -.0163813   .0572746    -0.29   0.775    -.1293459    .0965833
           reCR |   .7922506   .1579393     5.02   0.000     .4807419    1.103759
          reBDI |  -.0172197   .0327172    -0.53   0.599    -.0817489    .0473095
      reCL2011Q |  -.4217978   .1137063    -3.71   0.000    -.6460644   -.1975312
          _cons |  -.0023701   .0006529    -3.63   0.000    -.0036578   -.0010823
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Q
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.06
            Prob > F =    0.7998

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.98
            Prob > F =    0.1611

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.47
            Prob > F =    0.2276
(374 observations deleted)
(319 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.020811

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.29
                                                      Prob > F      =   0.0009
Total (centered) SS     =  .0316550479                Centered R2   =   0.1349
Total (uncentered) SS   =  .0324329963                Uncentered R2 =   0.1557
Residual SS             =  .0273834309                Root MSE      =   .01191

---------------------------------------------------------------------------------
      reNG2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0031573   .0121111     0.26   0.795    -.0207297    .0270443
dummy_daybefore |   .0173257   .0123463     1.40   0.162    -.0070253    .0416767
 dummy_dayafter |   .0152116   .0124827     1.22   0.224    -.0094085    .0398316
           reSP |   .0555705    .106415     0.52   0.602    -.1543152    .2654562
          reLib |   .0201128   .0501413     0.40   0.689    -.0787825    .1190081
        reTnote |  -.0176341   .0568046    -0.31   0.757    -.1296717    .0944035
           reCR |   .7770857   .1558836     4.99   0.000     .4696316     1.08454
          reBDI |  -.0169997   .0324469    -0.52   0.601    -.0809958    .0469964
      reCL2011U |  -.4148088   .1130888    -3.67   0.000    -.6378573   -.1917602
          _cons |  -.0023617   .0006461    -3.66   0.000     -.003636   -.0010874
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011U
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7946

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.97
            Prob > F =    0.1621

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.49
            Prob > F =    0.2245
(395 observations deleted)
(339 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  2.022854

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     3.27
                                                      Prob > F      =   0.0010
Total (centered) SS     =  .0301209261                Centered R2   =   0.1339
Total (uncentered) SS   =  .0308949094                Uncentered R2 =   0.1556
Residual SS             =  .0260875955                Root MSE      =   .01163

---------------------------------------------------------------------------------
      reNG2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0030235   .0118226     0.26   0.798    -.0202946    .0263416
dummy_daybefore |   .0164966   .0120487     1.37   0.173    -.0072674    .0402606
 dummy_dayafter |    .014967   .0121796     1.23   0.221    -.0090552    .0389892
           reSP |   .0562824   .1039698     0.54   0.589    -.1487805    .2613454
          reLib |   .0201478   .0489109     0.41   0.681    -.0763208    .1166164
        reTnote |  -.0184831    .055462    -0.33   0.739    -.1278725    .0909063
           reCR |   .7505081   .1512875     4.96   0.000      .452119    1.048897
          reBDI |  -.0163984   .0316804    -0.52   0.605    -.0788827    .0460859
      reCL2011V |  -.4019271   .1105392    -3.64   0.000    -.6199472    -.183907
          _cons |  -.0023437   .0006291    -3.73   0.000    -.0035844   -.0011029
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011V
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7984

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.87
            Prob > F =    0.1725

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.51
            Prob > F =    0.2206
(416 observations deleted)
(361 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =    1.9999

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     2.96
                                                      Prob > F      =   0.0026
Total (centered) SS     =  .0262966404                Centered R2   =   0.1231
Total (uncentered) SS   =  .0270236913                Uncentered R2 =   0.1467
Residual SS             =  .0230590841                Root MSE      =   .01093

---------------------------------------------------------------------------------
      reNG2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0029334   .0111188     0.26   0.792    -.0189966    .0248633
dummy_daybefore |   .0138673   .0113288     1.22   0.222    -.0084769    .0362114
 dummy_dayafter |   .0131607   .0114564     1.15   0.252    -.0094351    .0357565
           reSP |   .0498429   .0974934     0.51   0.610    -.1424465    .2421323
          reLib |   .0204205   .0458054     0.45   0.656    -.0699229    .1107639
        reTnote |  -.0190098   .0521975    -0.36   0.716    -.1219607     .083941
           reCR |   .6641932   .1418477     4.68   0.000     .3844225    .9439639
          reBDI |  -.0100836   .0298052    -0.34   0.735    -.0688695    .0487022
      reCL2011X |  -.3431892    .104269    -3.29   0.001    -.5488423   -.1375362
          _cons |  -.0022227   .0005815    -3.82   0.000    -.0033696   -.0010758
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011X
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7922

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.50
            Prob > F =    0.2224

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.32
            Prob > F =    0.2521
(437 observations deleted)
(686 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

Durbin-Watson d-statistic( 10,   203) =  1.969403

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     2.75
                                                      Prob > F      =   0.0048
Total (centered) SS     =  .0231762855                Centered R2   =   0.1154
Total (uncentered) SS   =  .0238216421                Uncentered R2 =   0.1393
Residual SS             =  .0205023374                Root MSE      =   .01031

---------------------------------------------------------------------------------
      reNG2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0026536   .0104897     0.25   0.801    -.0180355    .0233426
dummy_daybefore |   .0116901   .0106805     1.09   0.275    -.0093755    .0327556
 dummy_dayafter |   .0113752    .010813     1.05   0.294    -.0099516    .0327021
           reSP |   .0358826   .0915725     0.39   0.696    -.1447288     .216494
          reLib |   .0168537   .0431229     0.39   0.696    -.0681989    .1019063
        reTnote |   -.017847   .0491712    -0.36   0.717     -.114829     .079135
           reCR |    .595193    .133225     4.47   0.000     .3324291    .8579568
          reBDI |  -.0068758   .0282343    -0.24   0.808    -.0625632    .0488117
      reCL2011Z |  -.2879989   .0984209    -2.93   0.004    -.4821176   -.0938802
          _cons |  -.0020565   .0005443    -3.78   0.000    -.0031301   -.0009829
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2011Z
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.06
            Prob > F =    0.8006

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.20
            Prob > F =    0.2751

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.11
            Prob > F =    0.2941
(599 observations deleted)
(404 observations deleted)
(877 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.958661

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     2.65
                                                      Prob > F      =   0.0064
Total (centered) SS     =  .0216405153                Centered R2   =   0.1118
Total (uncentered) SS   =   .022254501                Uncentered R2 =   0.1363
Residual SS             =  .0192215639                Root MSE      =   .00998

---------------------------------------------------------------------------------
      reNG2012F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0025244     .01016     0.25   0.804    -.0175144    .0225633
dummy_daybefore |   .0108363   .0103373     1.05   0.296    -.0095522    .0312249
 dummy_dayafter |    .011012   .0104681     1.05   0.294    -.0096345    .0316585
           reSP |   .0391289   .0887106     0.44   0.660    -.1358379    .2140957
          reLib |   .0129898   .0417638     0.31   0.756    -.0693823    .0953619
        reTnote |   -.014969   .0476435    -0.31   0.754    -.1089377    .0789997
           reCR |   .5583788   .1286513     4.34   0.000     .3046357    .8121218
          reBDI |  -.0050438   .0273725    -0.18   0.854    -.0590314    .0489438
      reCL2012F |  -.2693885   .0953906    -2.82   0.005    -.4575305   -.0812465
          _cons |  -.0019891   .0005266    -3.78   0.000    -.0030278   -.0009505
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012F
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.06
            Prob > F =    0.8040

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.10
            Prob > F =    0.2958

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.11
            Prob > F =    0.2941
(423 observations deleted)
(424 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.979206

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     2.72
                                                      Prob > F      =   0.0053
Total (centered) SS     =  .0216085119                Centered R2   =   0.1142
Total (uncentered) SS   =  .0222394359                Uncentered R2 =   0.1393
Residual SS             =  .0191410356                Root MSE      =  .009959

---------------------------------------------------------------------------------
      reNG2012G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0022756   .0101394     0.22   0.823    -.0177226    .0222738
dummy_daybefore |   .0108628   .0103106     1.05   0.293    -.0094731    .0311988
 dummy_dayafter |   .0110338   .0104412     1.06   0.292    -.0095596    .0316272
           reSP |    .036199   .0886503     0.41   0.683    -.1386488    .2110467
          reLib |   .0119162   .0414895     0.29   0.774    -.0699149    .0937472
        reTnote |  -.0145225   .0475991    -0.31   0.761    -.1084038    .0793587
           reCR |   .5613876   .1279219     4.39   0.000     .3090831    .8136921
          reBDI |  -.0047359   .0271607    -0.17   0.862    -.0583058    .0488339
      reCL2012G |  -.2680033      .0952    -2.82   0.005    -.4557693   -.0802374
          _cons |  -.0020079   .0005167    -3.89   0.000     -.003027   -.0009889
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012G
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.05
            Prob > F =    0.8227

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    1.11
            Prob > F =    0.2934

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.12
            Prob > F =    0.2919
(443 observations deleted)
(445 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.974764

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     2.62
                                                      Prob > F      =   0.0070
Total (centered) SS     =  .0224239636                Centered R2   =   0.1106
Total (uncentered) SS   =  .0230352936                Uncentered R2 =   0.1342
Residual SS             =  .0199430309                Root MSE      =   .01017

---------------------------------------------------------------------------------
      reNG2012H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0028122   .0103524     0.27   0.786    -.0176061    .0232305
dummy_daybefore |   .0104032    .010524     0.99   0.324    -.0103535      .03116
 dummy_dayafter |   .0107983   .0106603     1.01   0.312    -.0102274     .031824
           reSP |   .0329156   .0904252     0.36   0.716    -.1454328    .2112641
          reLib |   .0121844   .0422545     0.29   0.773    -.0711554    .0955242
        reTnote |  -.0137266   .0485901    -0.28   0.778    -.1095624    .0821091
           reCR |   .5591451   .1303185     4.29   0.000     .3021137    .8161764
          reBDI |  -.0030962   .0276999    -0.11   0.911    -.0577295    .0515372
      reCL2012H |   -.262365   .0974317    -2.69   0.008    -.4545326   -.0701975
          _cons |  -.0019713   .0005198    -3.79   0.000    -.0029965   -.0009461
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012H
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.07
            Prob > F =    0.7862

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    0.98
            Prob > F =    0.3241

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    1.03
            Prob > F =    0.3124
(465 observations deleted)
(465 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)
(1 missing value generated)

Durbin-Watson d-statistic( 10,   203) =  1.885087

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  9,   193) =     2.29
                                                      Prob > F      =   0.0185
Total (centered) SS     =  .0226700432                Centered R2   =   0.0982
Total (uncentered) SS   =  .0231379108                Uncentered R2 =   0.1164
Residual SS             =  .0204447831                Root MSE      =   .01029

---------------------------------------------------------------------------------
      reNG2012J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .002034    .010498     0.19   0.847    -.0186715    .0227395
dummy_daybefore |     .00773   .0106559     0.73   0.469     -.013287     .028747
 dummy_dayafter |   .0087218    .010802     0.81   0.420    -.0125834    .0300269
           reSP |   .0346489   .0906003     0.38   0.703    -.1440451    .2133428
          reLib |   .0077304   .0428411     0.18   0.857    -.0767665    .0922273
        reTnote |  -.0134396   .0495039    -0.27   0.786    -.1110776    .0841984
           reCR |   .5206772   .1318942     3.95   0.000      .260538    .7808164
          reBDI |   .0038274   .0285206     0.13   0.893    -.0524247    .0600795
      reCL2012J |  -.2353334    .099182    -2.37   0.019    -.4309533   -.0397136
          _cons |  -.0016971    .000504    -3.37   0.001    -.0026912    -.000703
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter reSP reLib
                      reTnote reCR reBDI reCL2012J
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   193) =    0.04
            Prob > F =    0.8466

 ( 1)  dummy_daybefore = 0

       F(  1,   193) =    0.53
            Prob > F =    0.4691

 ( 1)  dummy_dayafter = 0

       F(  1,   193) =    0.65
            Prob > F =    0.4204
(note: file C:/yourdirectory/temp_base.dta not found)
file C:/yourdirectory/temp_base.dta saved
(674 observations deleted)
file C:/yourdirectory/output/graham_timeseries_NG_12mo.dta saved
(674 observations deleted)
file C:/yourdirectory/output/graham_voltimeseries_NG_12mo.dta saved
(674 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010V |    200    0.98738      1.882     1.455    0.07281
resid_~2010X |    200    0.98919      1.612     1.099    0.13584
resid_~2010Z |    200    0.99311      1.028     0.064    0.47432
resid_~2011F |    200    0.99258      1.107     0.233    0.40777
resid_~2011G |    200    0.99242      1.131     0.284    0.38812
resid_~2011H |    200    0.99071      1.386     0.752    0.22609
resid_~2011J |    200    0.98662      1.996     1.591    0.05584
resid_~2011K |    200    0.98578      2.122     1.731    0.04175
resid_~2011M |    200    0.98399      2.389     2.004    0.02256
resid_~2011N |    200    0.98264      2.590     2.190    0.01427
resid_~2011Q |    200    0.98234      2.635     2.229    0.01289
resid_~2011U |    200    0.98202      2.682     2.270    0.01160
resid_~2011V |    200    0.98314      2.516     2.123    0.01689
resid_~2011X |    200    0.98154      2.754     2.331    0.00988
resid_~2011Z |    200    0.98106      2.825     2.389    0.00844
resid_~2012F |    200    0.98007      2.974     2.508    0.00608
resid_~2012G |    200    0.98066      2.885     2.438    0.00739
resid_~2012H |    200    0.97994      2.993     2.522    0.00583
resid_~2012J |    200    0.97535      3.677     2.996    0.00137
Jarque-Bera normality test:  2.897 Chi(2)  .2349
Jarque-Bera test for Ho: normality: (resid_NG_2010V)
Jarque-Bera normality test:  2.459 Chi(2)  .2924
Jarque-Bera test for Ho: normality: (resid_NG_2010X)
Jarque-Bera normality test:  2.149 Chi(2)  .3414
Jarque-Bera test for Ho: normality: (resid_NG_2010Z)
Jarque-Bera normality test:  2.245 Chi(2)  .3255
Jarque-Bera test for Ho: normality: (resid_NG_2011F)
Jarque-Bera normality test:  2.518 Chi(2)  .2839
Jarque-Bera test for Ho: normality: (resid_NG_2011G)
Jarque-Bera normality test:  3.748 Chi(2)  .1535
Jarque-Bera test for Ho: normality: (resid_NG_2011H)
Jarque-Bera normality test:  11.56 Chi(2)  .0031
Jarque-Bera test for Ho: normality: (resid_NG_2011J)
Jarque-Bera normality test:  13.18 Chi(2)  .0014
Jarque-Bera test for Ho: normality: (resid_NG_2011K)
Jarque-Bera normality test:  15.71 Chi(2)  3.9e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011M)
Jarque-Bera normality test:   17.6 Chi(2)  1.5e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011N)
Jarque-Bera normality test:  18.12 Chi(2)  1.2e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011Q)
Jarque-Bera normality test:  18.92 Chi(2)  7.8e-05
Jarque-Bera test for Ho: normality: (resid_NG_2011U)
Jarque-Bera normality test:   17.1 Chi(2)  1.9e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011V)
Jarque-Bera normality test:  19.41 Chi(2)  6.1e-05
Jarque-Bera test for Ho: normality: (resid_NG_2011X)
Jarque-Bera normality test:  19.21 Chi(2)  6.8e-05
Jarque-Bera test for Ho: normality: (resid_NG_2011Z)
Jarque-Bera normality test:  19.64 Chi(2)  5.4e-05
Jarque-Bera test for Ho: normality: (resid_NG_2012F)
Jarque-Bera normality test:   18.6 Chi(2)  9.1e-05
Jarque-Bera test for Ho: normality: (resid_NG_2012G)
Jarque-Bera normality test:  17.95 Chi(2)  1.3e-04
Jarque-Bera test for Ho: normality: (resid_NG_2012H)
Jarque-Bera normality test:  23.13 Chi(2)  9.5e-06
Jarque-Bera test for Ho: normality: (resid_NG_2012J)
file C:/yourdirectory/output/graham_resids_NG_base_12mo.dta saved
(674 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_NG_base_12mo.dta saved
(876 observations deleted)
(note: j = 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110 201111 201112 201201
>  201202 201203 201204)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      19
Number of variables                 172   ->      11
j variable (19 values)                    ->   contract
xij variables:
b_NG_base_Day201010 b_NG_base_Day201011 ... b_NG_base_Day201204->b_NG_base_Day
se_NG_base_Day201010 se_NG_base_Day201011 ... se_NG_base_Day201204->se_NG_base_Day
p_NG_base_Day201010 p_NG_base_Day201011 ... p_NG_base_Day201204->p_NG_base_Day
b_NG_base_Before201010 b_NG_base_Before201011 ... b_NG_base_Before201204->b_NG_base_Before
se_NG_base_Before201010 se_NG_base_Before201011 ... se_NG_base_Before201204->se_NG_base_Before
p_NG_base_Before201010 p_NG_base_Before201011 ... p_NG_base_Before201204->p_NG_base_Before
b_NG_base_After201010 b_NG_base_After201011 ... b_NG_base_After201204->b_NG_base_After
se_NG_base_After201010 se_NG_base_After201011 ... se_NG_base_After201204->se_NG_base_After
p_NG_base_After201010 p_NG_base_After201011 ... p_NG_base_After201204->p_NG_base_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_NG_base.dta not found)
file C:/yourdirectory/output/coeffs_NG_base.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(0 real changes made)
        time variable:  counter, 1 to 1507
                delta:  1 unit
(1506 missing values generated)
(1506 real changes made)
(203 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.45
                                                      Prob > F      =   0.7193
Total (centered) SS     =  .1108618932                Centered R2   =   0.0066
Total (uncentered) SS   =  .1115097365                Uncentered R2 =   0.0124
Residual SS             =  .1101253894                Root MSE      =   .02352

---------------------------------------------------------------------------------
      reNG2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0044731   .0235915     0.19   0.850    -.0420484    .0509945
dummy_daybefore |   .0266763   .0235952     1.13   0.260    -.0198523     .073205
 dummy_dayafter |  -.0029637   .0235952    -0.13   0.900    -.0494924    .0435649
          _cons |  -.0019253   .0014104    -1.37   0.174    -.0047065    .0008559
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1304 missing values generated)
(1304 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8498

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.28
            Prob > F =    0.2596

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.02
            Prob > F =    0.9002
(42 observations deleted)
(1486 real changes made)
        time variable:  counter, 1 to 1486
                delta:  1 unit
(1485 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.57
                                                      Prob > F      =   0.6379
Total (centered) SS     =  .0766820449                Centered R2   =   0.0083
Total (uncentered) SS   =  .0774314607                Uncentered R2 =   0.0179
Residual SS             =  .0760450541                Root MSE      =   .01955

---------------------------------------------------------------------------------
      reNG2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0038419   .0196032     0.20   0.845    -.0348147    .0424985
dummy_daybefore |   .0250161   .0196054     1.28   0.203    -.0136448     .063677
 dummy_dayafter |   .0008856   .0196054     0.05   0.964    -.0377753    .0395465
          _cons |  -.0020679   .0011433    -1.81   0.072    -.0043225    .0001867
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1283 missing values generated)
(1283 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8448

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.63
            Prob > F =    0.2034

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.00
            Prob > F =    0.9640
(61 observations deleted)
(1466 real changes made)
        time variable:  counter, 1 to 1466
                delta:  1 unit
(1465 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.60
                                                      Prob > F      =   0.6145
Total (centered) SS     =  .0550590456                Centered R2   =   0.0088
Total (uncentered) SS   =  .0558767515                Uncentered R2 =   0.0233
Residual SS             =  .0545772284                Root MSE      =   .01656

---------------------------------------------------------------------------------
      reNG2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0032431   .0166105     0.20   0.845    -.0295122    .0359983
dummy_daybefore |   .0215561   .0166118     1.30   0.196    -.0112017    .0543138
 dummy_dayafter |   .0032418   .0166118     0.20   0.845    -.0295159    .0359996
          _cons |  -.0021451   .0009131    -2.35   0.020    -.0039458   -.0003445
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1263 missing values generated)
(1263 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8454

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.68
            Prob > F =    0.1959

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8455
(314 observations deleted)
(1215 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.59
                                                      Prob > F      =   0.6246
Total (centered) SS     =  .0488837271                Centered R2   =   0.0085
Total (uncentered) SS   =  .0496976678                Uncentered R2 =   0.0247
Residual SS             =  .0484691104                Root MSE      =   .01561

---------------------------------------------------------------------------------
      reNG2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0033658    .015653     0.22   0.830    -.0275013    .0342328
dummy_daybefore |   .0199142   .0156546     1.27   0.205     -.010956    .0507843
 dummy_dayafter |   .0031883   .0156546     0.20   0.839    -.0276819    .0340585
          _cons |  -.0021328    .000853    -2.50   0.013    -.0038149   -.0004507
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.05
            Prob > F =    0.8300

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.62
            Prob > F =    0.2048

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8388
(84 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.59
                                                      Prob > F      =   0.6232
Total (centered) SS     =  .0469740162                Centered R2   =   0.0085
Total (uncentered) SS   =  .0477795174                Uncentered R2 =   0.0253
Residual SS             =  .0465730797                Root MSE      =    .0153

---------------------------------------------------------------------------------
      reNG2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0030047   .0153442     0.20   0.845    -.0272534    .0332628
dummy_daybefore |   .0196501   .0153458     1.28   0.202    -.0106111    .0499114
 dummy_dayafter |   .0030039   .0153458     0.20   0.845    -.0272573    .0332651
          _cons |  -.0021184   .0008291    -2.55   0.011    -.0037534   -.0004834
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8450

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.64
            Prob > F =    0.2019

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.04
            Prob > F =    0.8450
(103 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.57
                                                      Prob > F      =   0.6381
Total (centered) SS     =  .0457245127                Centered R2   =   0.0082
Total (uncentered) SS   =  .0464968313                Uncentered R2 =   0.0247
Residual SS             =  .0453478414                Root MSE      =    .0151

---------------------------------------------------------------------------------
      reNG2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0024298   .0151417     0.16   0.873    -.0274291    .0322887
dummy_daybefore |   .0191758   .0151436     1.27   0.207    -.0106868    .0490384
 dummy_dayafter |   .0024296   .0151436     0.16   0.873     -.027433    .0322922
          _cons |  -.0020689   .0007934    -2.61   0.010    -.0036334   -.0005044
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.03
            Prob > F =    0.8727

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.60
            Prob > F =    0.2069

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.03
            Prob > F =    0.8727
(126 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.66
                                                      Prob > F      =   0.5759
Total (centered) SS     =  .0362342496                Centered R2   =   0.0097
Total (uncentered) SS   =  .0368353471                Uncentered R2 =   0.0259
Residual SS             =  .0358823206                Root MSE      =   .01343

---------------------------------------------------------------------------------
      reNG2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0023914   .0134747     0.18   0.859    -.0241801    .0289629
dummy_daybefore |     .01864   .0134737     1.38   0.168    -.0079296    .0452097
 dummy_dayafter |   .0010806   .0134737     0.08   0.936     -.025489    .0276502
          _cons |  -.0018297   .0006439    -2.84   0.005    -.0030995   -.0005599
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.03
            Prob > F =    0.8593

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.91
            Prob > F =    0.1681

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9362
(146 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.64
                                                      Prob > F      =   0.5899
Total (centered) SS     =  .0348522761                Centered R2   =   0.0094
Total (uncentered) SS   =  .0354229278                Uncentered R2 =   0.0254
Residual SS             =  .0345247569                Root MSE      =   .01317

---------------------------------------------------------------------------------
      reNG2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0023421   .0132178     0.18   0.860    -.0237229     .028407
dummy_daybefore |    .017978   .0132166     1.36   0.175    -.0080845    .0440406
 dummy_dayafter |   .0010348   .0132166     0.08   0.938    -.0250278    .0270973
          _cons |  -.0017818   .0006314    -2.82   0.005    -.0030269   -.0005368
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.03
            Prob > F =    0.8595

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.85
            Prob > F =    0.1753

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9377
(167 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.62
                                                      Prob > F      =   0.6017
Total (centered) SS     =  .0334930875                Centered R2   =   0.0091
Total (uncentered) SS   =  .0340605235                Uncentered R2 =   0.0257
Residual SS             =   .033186727                Root MSE      =   .01291

---------------------------------------------------------------------------------
      reNG2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0017716   .0129588     0.14   0.891    -.0237826    .0273259
dummy_daybefore |   .0174407    .012958     1.35   0.180     -.008112    .0429933
 dummy_dayafter |   .0010311    .012958     0.08   0.937    -.0245216    .0265837
          _cons |  -.0017716   .0006198    -2.86   0.005    -.0029939   -.0005494
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.02
            Prob > F =    0.8914

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.81
            Prob > F =    0.1799

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9367
(189 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.61
                                                      Prob > F      =   0.6114
Total (centered) SS     =  .0320975376                Centered R2   =   0.0089
Total (uncentered) SS   =  .0326541993                Uncentered R2 =   0.0258
Residual SS             =  .0318109767                Root MSE      =   .01264

---------------------------------------------------------------------------------
      reNG2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0017527   .0126874     0.14   0.890    -.0232664    .0267717
dummy_daybefore |   .0168626   .0126869     1.33   0.185    -.0081555    .0418806
 dummy_dayafter |   .0010209   .0126869     0.08   0.936    -.0239971     .026039
          _cons |  -.0017527   .0006031    -2.91   0.004    -.0029421   -.0005633
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.02
            Prob > F =    0.8903

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.77
            Prob > F =    0.1853

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9359
(209 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.59
                                                      Prob > F      =   0.6248
Total (centered) SS     =  .0312823422                Centered R2   =   0.0086
Total (uncentered) SS   =  .0318386028                Uncentered R2 =   0.0259
Residual SS             =  .0310125908                Root MSE      =   .01248

---------------------------------------------------------------------------------
      reNG2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0017496   .0125274     0.14   0.889    -.0229539    .0264531
dummy_daybefore |   .0163537   .0125269     1.31   0.193    -.0083488    .0410561
 dummy_dayafter |   .0010244   .0125269     0.08   0.935    -.0236781    .0257268
          _cons |  -.0017496   .0005918    -2.96   0.003    -.0029165   -.0005826
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.02
            Prob > F =    0.8891

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.70
            Prob > F =    0.1932

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9349
(232 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.59
                                                      Prob > F      =   0.6201
Total (centered) SS     =  .0306841038                Centered R2   =   0.0087
Total (uncentered) SS   =  .0312403721                Uncentered R2 =   0.0264
Residual SS             =  .0304165356                Root MSE      =   .01236

---------------------------------------------------------------------------------
      reNG2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0017501   .0124066     0.14   0.888    -.0227152    .0262154
dummy_daybefore |   .0162747   .0124059     1.31   0.191    -.0081893    .0407386
 dummy_dayafter |   .0012093   .0124059     0.10   0.922    -.0232547    .0256732
          _cons |  -.0017501   .0005867    -2.98   0.003     -.002907   -.0005932
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.02
            Prob > F =    0.8880

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.72
            Prob > F =    0.1911

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9224
(253 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.56
                                                      Prob > F      =   0.6401
Total (centered) SS     =  .0292641919                Centered R2   =   0.0083
Total (uncentered) SS   =  .0298169662                Uncentered R2 =   0.0267
Residual SS             =  .0290219386                Root MSE      =   .01208

---------------------------------------------------------------------------------
      reNG2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0015638   .0121187     0.13   0.897    -.0223338    .0254613
dummy_daybefore |   .0154777   .0121184     1.28   0.203    -.0084194    .0393747
 dummy_dayafter |   .0013864   .0121184     0.11   0.909    -.0225107    .0252834
          _cons |  -.0017409   .0005727    -3.04   0.003    -.0028702   -.0006117
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.02
            Prob > F =    0.8975

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.63
            Prob > F =    0.2030

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9090
(274 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.49
                                                      Prob > F      =   0.6893
Total (centered) SS     =  .0254642531                Centered R2   =   0.0072
Total (uncentered) SS   =  .0259959588                Uncentered R2 =   0.0275
Residual SS             =  .0252800336                Root MSE      =   .01127

---------------------------------------------------------------------------------
      reNG2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0013586   .0113119     0.12   0.905     -.020948    .0236651
dummy_daybefore |   .0134841   .0113113     1.19   0.235    -.0088212    .0357895
 dummy_dayafter |   .0013585   .0113113     0.12   0.905    -.0209469    .0236638
          _cons |  -.0016982   .0005239    -3.24   0.001    -.0027314    -.000665
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9045

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.42
            Prob > F =    0.2346

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9045
(295 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1215
                delta:  1 unit
(1214 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.41
                                                      Prob > F      =   0.7426
Total (centered) SS     =  .0223364067                Centered R2   =   0.0062
Total (uncentered) SS   =  .0228143015                Uncentered R2 =   0.0270
Residual SS             =  .0221987144                Root MSE      =   .01056

---------------------------------------------------------------------------------
      reNG2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0011166   .0106019     0.11   0.916    -.0197899    .0220232
dummy_daybefore |   .0116819   .0106009     1.10   0.272    -.0092226    .0325863
 dummy_dayafter |   .0009546   .0106009     0.09   0.928    -.0199499     .021859
          _cons |  -.0016021   .0004819    -3.32   0.001    -.0025524   -.0006517
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(1012 missing values generated)
(1012 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9162

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.21
            Prob > F =    0.2718

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9283
(567 observations deleted)
(964 real changes made)
        time variable:  counter, 1 to 964
                delta:  1 unit
(963 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.39
                                                      Prob > F      =   0.7571
Total (centered) SS     =  .0208719599                Centered R2   =   0.0059
Total (uncentered) SS   =  .0213285526                Uncentered R2 =   0.0271
Residual SS             =  .0207495063                Root MSE      =   .01021

---------------------------------------------------------------------------------
      reNG2012F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .000937   .0102504     0.09   0.927    -.0192764    .0211504
dummy_daybefore |   .0110099   .0102494     1.07   0.284    -.0092014    .0312212
 dummy_dayafter |   .0010935   .0102494     0.11   0.915    -.0191177    .0213048
          _cons |   -.001564   .0004639    -3.37   0.001    -.0024788   -.0006491
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(761 missing values generated)
(761 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9273

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.15
            Prob > F =    0.2840

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9151
(336 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 964
                delta:  1 unit
(963 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.40
                                                      Prob > F      =   0.7508
Total (centered) SS     =  .0208105677                Centered R2   =   0.0060
Total (uncentered) SS   =   .021283228                Uncentered R2 =   0.0281
Residual SS             =  .0206859609                Root MSE      =    .0102

---------------------------------------------------------------------------------
      reNG2012G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .0006398   .0102339     0.06   0.950    -.0195411    .0208207
dummy_daybefore |   .0111253   .0102334     1.09   0.278    -.0090544    .0313051
 dummy_dayafter |   .0011143   .0102334     0.11   0.913    -.0190654     .021294
          _cons |  -.0015893   .0004549    -3.49   0.001    -.0024865   -.0006922
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(761 missing values generated)
(761 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.00
            Prob > F =    0.9502

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.18
            Prob > F =    0.2783

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9134
(356 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 964
                delta:  1 unit
(963 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.37
                                                      Prob > F      =   0.7719
Total (centered) SS     =  .0215929512                Centered R2   =   0.0055
Total (uncentered) SS   =  .0220432657                Uncentered R2 =   0.0259
Residual SS             =  .0214732694                Root MSE      =   .01039

---------------------------------------------------------------------------------
      reNG2012H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |    .001065   .0104278     0.10   0.919    -.0194981    .0216281
dummy_daybefore |   .0108741   .0104265     1.04   0.298    -.0096864    .0314347
 dummy_dayafter |   .0010649   .0104265     0.10   0.919    -.0194957    .0216254
          _cons |  -.0015535   .0004587    -3.39   0.001     -.002458    -.000649
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(761 missing values generated)
(761 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9188

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.09
            Prob > F =    0.2982

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.01
            Prob > F =    0.9188
(378 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 964
                delta:  1 unit
(963 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.24
                                                      Prob > F      =   0.8688
Total (centered) SS     =  .0214660372                Centered R2   =   0.0036
Total (uncentered) SS   =  .0218267593                Uncentered R2 =   0.0201
Residual SS             =  .0213891006                Root MSE      =   .01037

---------------------------------------------------------------------------------
      reNG2012J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |  -.0000324   .0104129    -0.00   0.998    -.0205662    .0205014
dummy_daybefore |   .0087926   .0104075     0.84   0.399    -.0117306    .0293158
 dummy_dayafter |  -.0000344   .0104075    -0.00   0.997    -.0205576    .0204888
          _cons |   -.001376   .0004343    -3.17   0.002    -.0022324   -.0005196
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------
(761 missing values generated)
(761 missing values generated)

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.00
            Prob > F =    0.9975

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    0.71
            Prob > F =    0.3992

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.00
            Prob > F =    0.9974
(note: file C:/yourdirectory/temp_nocovar.dta not found)
file C:/yourdirectory/temp_nocovar.dta saved
(761 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010V |    200    0.98770      1.835     1.397    0.08122
resid_~2010X |    200    0.98706      1.930     1.513    0.06512
resid_~2010Z |    200    0.98959      1.553     1.013    0.15559
resid_~2011F |    200    0.98949      1.567     1.034    0.15062
resid_~2011G |    200    0.98969      1.538     0.991    0.16088
resid_~2011H |    200    0.98981      1.520     0.964    0.16756
resid_~2011J |    200    0.98966      1.543     0.998    0.15911
resid_~2011K |    200    0.98947      1.571     1.039    0.14939
resid_~2011M |    200    0.98944      1.576     1.046    0.14771
resid_~2011N |    200    0.98915      1.618     1.107    0.13411
resid_~2011Q |    200    0.98922      1.609     1.094    0.13695
resid_~2011U |    200    0.98945      1.574     1.044    0.14824
resid_~2011V |    200    0.98989      1.509     0.947    0.17193
resid_~2011X |    200    0.98950      1.566     1.032    0.15097
resid_~2011Z |    200    0.98995      1.500     0.932    0.17558
resid_~2012F |    200    0.98960      1.551     1.010    0.15635
resid_~2012G |    200    0.98982      1.519     0.962    0.16807
resid_~2012H |    200    0.98997      1.497     0.928    0.17679
resid_~2012J |    200    0.98950      1.566     1.032    0.15094
Jarque-Bera normality test:  2.339 Chi(2)  .3105
Jarque-Bera test for Ho: normality: (resid_NG_2010V)
Jarque-Bera normality test:  2.774 Chi(2)  .2499
Jarque-Bera test for Ho: normality: (resid_NG_2010X)
Jarque-Bera normality test:  2.578 Chi(2)  .2756
Jarque-Bera test for Ho: normality: (resid_NG_2010Z)
Jarque-Bera normality test:  2.685 Chi(2)  .2612
Jarque-Bera test for Ho: normality: (resid_NG_2011F)
Jarque-Bera normality test:  2.596 Chi(2)  .2731
Jarque-Bera test for Ho: normality: (resid_NG_2011G)
Jarque-Bera normality test:  2.982 Chi(2)  .2251
Jarque-Bera test for Ho: normality: (resid_NG_2011H)
Jarque-Bera normality test:  5.101 Chi(2)   .078
Jarque-Bera test for Ho: normality: (resid_NG_2011J)
Jarque-Bera normality test:  5.276 Chi(2)  .0715
Jarque-Bera test for Ho: normality: (resid_NG_2011K)
Jarque-Bera normality test:  5.581 Chi(2)  .0614
Jarque-Bera test for Ho: normality: (resid_NG_2011M)
Jarque-Bera normality test:  5.996 Chi(2)  .0499
Jarque-Bera test for Ho: normality: (resid_NG_2011N)
Jarque-Bera normality test:  6.109 Chi(2)  .0472
Jarque-Bera test for Ho: normality: (resid_NG_2011Q)
Jarque-Bera normality test:  6.179 Chi(2)  .0455
Jarque-Bera test for Ho: normality: (resid_NG_2011U)
Jarque-Bera normality test:  5.756 Chi(2)  .0563
Jarque-Bera test for Ho: normality: (resid_NG_2011V)
Jarque-Bera normality test:   5.82 Chi(2)  .0545
Jarque-Bera test for Ho: normality: (resid_NG_2011X)
Jarque-Bera normality test:  5.107 Chi(2)  .0778
Jarque-Bera test for Ho: normality: (resid_NG_2011Z)
Jarque-Bera normality test:  5.207 Chi(2)   .074
Jarque-Bera test for Ho: normality: (resid_NG_2012F)
Jarque-Bera normality test:   4.75 Chi(2)   .093
Jarque-Bera test for Ho: normality: (resid_NG_2012G)
Jarque-Bera normality test:  4.322 Chi(2)  .1152
Jarque-Bera test for Ho: normality: (resid_NG_2012H)
Jarque-Bera normality test:  3.305 Chi(2)  .1916
Jarque-Bera test for Ho: normality: (resid_NG_2012J)
file C:/yourdirectory/output/graham_resids_NG_nocovar_12mo.dta saved
(761 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_NG_nocovar_12mo.dta saved
(963 observations deleted)
(note: j = 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110 201111 201112 201201
>  201202 201203 201204)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      19
Number of variables                 172   ->      11
j variable (19 values)                    ->   contract
xij variables:
b_NG_nocovar_Day201010 b_NG_nocovar_Day201011 ... b_NG_nocovar_Day201204->b_NG_nocovar_Day
se_NG_nocovar_Day201010 se_NG_nocovar_Day201011 ... se_NG_nocovar_Day201204->se_NG_nocovar_Day
p_NG_nocovar_Day201010 p_NG_nocovar_Day201011 ... p_NG_nocovar_Day201204->p_NG_nocovar_Day
b_NG_nocovar_Before201010 b_NG_nocovar_Before201011 ... b_NG_nocovar_Before201204->b_NG_nocovar_Before
se_NG_nocovar_Before201010 se_NG_nocovar_Before201011 ... se_NG_nocovar_Before201204->se_NG_nocovar_Before
p_NG_nocovar_Before201010 p_NG_nocovar_Before201011 ... p_NG_nocovar_Before201204->p_NG_nocovar_Before
b_NG_nocovar_After201010 b_NG_nocovar_After201011 ... b_NG_nocovar_After201204->b_NG_nocovar_After
se_NG_nocovar_After201010 se_NG_nocovar_After201011 ... se_NG_nocovar_After201204->se_NG_nocovar_After
p_NG_nocovar_After201010 p_NG_nocovar_After201011 ... p_NG_nocovar_After201204->p_NG_nocovar_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_NG_nocovar.dta not found)
file C:/yourdirectory/output/coeffs_NG_nocovar.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(12461 observations deleted)
(5232 observations deleted)
(11146 observations deleted)
(722 observations deleted)
(4664 observations deleted)
(235 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(1072 real changes made)
(203 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  495.47405
                                                                 (not concave)
Gradient vector (length = 1366.474):
          reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -5.70e-07         2.79e-07        -1.58e-07        -.0248635         1.213019        -.3475355        -.3810909

          reNG2010V:       reNG2010V:       reNG2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000006         __000007            _cons            _cons
r1         3.606288        -.7826564        -93.73383         12.87947          .604381         1363.189         .2815384
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  495.47405
                                                                 (not concave)
Gradient vector (length = 1366.474):
          reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:       reNG2010V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         5.89e-07        -2.14e-06         4.04e-06        -.0248636         1.213019        -.3475356         -.381091

          reNG2010V:       reNG2010V:       reNG2010V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010V            _cons         __000006         __000007            _cons            _cons
r1         3.606288        -.7826565        -93.73382         12.87947          .604381         1363.189         .2815383
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     40.64
Log pseudolikelihood =   495.474                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010V       |
 dummy_eventday |   .0043828   .0052206     0.84   0.401    -.0058494    .0146149
dummy_daybefore |   .0363437   .0056749     6.40   0.000      .025221    .0474663
 dummy_dayafter |    .029003   .0063065     4.60   0.000     .0166425    .0413635
           reSP |    .088411   .1999398     0.44   0.658    -.3034638    .4802858
          reLib |   .0345016   .0718833     0.48   0.631    -.1063871    .1753904
        reTnote |   -.022374   .1032533    -0.22   0.828    -.2247467    .1799987
           reCR |   1.944117   .3525045     5.52   0.000     1.253221    2.635013
          reBDI |  -.0687558    .069842    -0.98   0.325    -.2056437    .0681321
      reCL2010V |  -1.053767   .2146095    -4.91   0.000    -1.474394   -.6331404
          _cons |  -.0035649   .0016362    -2.18   0.029    -.0067718   -.0003579
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.28e-17   .0810154     0.00   1.000    -.1587872    .1587872
                |
          garch |
            L1. |  -2.39e-18          .        .       .            .           .
                |
          _cons |   .0004434   .0000715     6.20   0.000     .0003032    .0005836
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.044112     3.19   0.001     1.285783    5.378626
----------------+----------------------------------------------------------------
             df |         30   29.23512                      5.617501    218.7242
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2010V]dummy_eventday = 0

           chi2(  1) =    0.70
         Prob > chi2 =    0.4012

 ( 1)  [reNG2010V]dummy_daybefore = 0

           chi2(  1) =   41.01
         Prob > chi2 =    0.0000

 ( 1)  [reNG2010V]dummy_dayafter = 0

           chi2(  1) =   21.15
         Prob > chi2 =    0.0000
(434 observations deleted)
(108 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =     533.07
                                                                 (not concave)
Gradient vector (length = 2301.348):
          reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.15e-06         5.78e-08         9.49e-07         .0403524         1.536387        -.5194137        -.4721736

          reNG2010X:       reNG2010X:       reNG2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000006         __000007            _cons            _cons
r1         4.339322        -.5740965        -103.9351          15.0003         .7033929         2298.946         .3338048
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =     533.07
                                                                 (not concave)
Gradient vector (length = 2301.348):
          reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:       reNG2010X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.15e-06         5.78e-08         9.49e-07         .0403524         1.536387        -.5194137        -.4721736

          reNG2010X:       reNG2010X:       reNG2010X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010X            _cons         __000006         __000007            _cons            _cons
r1         4.339322        -.5740965        -103.9351          15.0003         .7033929         2298.946         .3338048
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     59.87
Log pseudolikelihood =    533.07                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010X       |
 dummy_eventday |   .0039896   .0041922     0.95   0.341    -.0042269    .0122062
dummy_daybefore |   .0325415   .0047359     6.87   0.000     .0232594    .0418236
 dummy_dayafter |   .0286566   .0051864     5.53   0.000     .0184915    .0388218
           reSP |   .1098584   .1686637     0.65   0.515    -.2207165    .4404333
          reLib |   .0415645   .0589527     0.71   0.481    -.0739808    .1571097
        reTnote |  -.0187024   .0814882    -0.23   0.818    -.1784162    .1410115
           reCR |   1.606249   .2841692     5.65   0.000     1.049288    2.163211
          reBDI |  -.0592592    .056636    -1.05   0.295    -.1702637    .0517453
      reCL2010X |  -.8904479   .1647026    -5.41   0.000    -1.213259   -.5676368
          _cons |  -.0035067   .0013174    -2.66   0.008    -.0060888   -.0009247
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |          0    .072413     0.00   1.000    -.1419269    .1419269
                |
          garch |
            L1. |          0  (omitted)
                |
          _cons |    .000306   .0000465     6.58   0.000     .0002148    .0003971
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   .9041772     3.69   0.000      1.56005    5.104359
----------------+----------------------------------------------------------------
             df |         30   25.31696                      6.759058    166.7385
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2010X]dummy_eventday = 0

           chi2(  1) =    0.91
         Prob > chi2 =    0.3413

 ( 1)  [reNG2010X]dummy_daybefore = 0

           chi2(  1) =   47.21
         Prob > chi2 =    0.0000

 ( 1)  [reNG2010X]dummy_dayafter = 0

           chi2(  1) =   30.53
         Prob > chi2 =    0.0000
(434 observations deleted)
(682 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  564.84936
                                                                 (not concave)
Gradient vector (length =  1950.91):
          reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.90e-06        -3.52e-06        -4.40e-06        -.0567534         1.678534        -.5361306        -.7982971

          reNG2010Z:       reNG2010Z:       reNG2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000006         __000007            _cons            _cons
r1         4.406436        -.8810783        -106.3458          12.8826          .436457         1947.961          .208265
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  564.84936
                                                                 (not concave)
Gradient vector (length =  1950.91):
          reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:       reNG2010Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -7.13e-07        -1.69e-06        -2.96e-06        -.0567534         1.678534        -.5361307        -.7982971

          reNG2010Z:       reNG2010Z:       reNG2010Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2010Z            _cons         __000006         __000007            _cons            _cons
r1         4.406436        -.8810783        -106.3458          12.8826          .436457         1947.961          .208265
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    531.44
Log pseudolikelihood =  564.8494                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2010Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2010Z       |
 dummy_eventday |   .0032812   .0035318     0.93   0.353    -.0036409    .0102033
dummy_daybefore |   .0273785    .004096     6.68   0.000     .0193506    .0354065
 dummy_dayafter |   .0271583   .0043923     6.18   0.000     .0185496     .035767
           reSP |   .1035549   .1440369     0.72   0.472    -.1787522    .3858621
          reLib |   .0339589   .0500492     0.68   0.497    -.0641357    .1320534
        reTnote |  -.0051656   .0693007    -0.07   0.941    -.1409925    .1306612
           reCR |   1.314284   .2255378     5.83   0.000     .8722382     1.75633
          reBDI |  -.0542176   .0482929    -1.12   0.262    -.1488699    .0404347
      reCL2010Z |  -.7319779   .1304977    -5.61   0.000    -.9877488    -.476207
          _cons |  -.0032836   .0010987    -2.99   0.003    -.0054371   -.0011301
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   6.50e-17    .067141     0.00   1.000    -.1315939    .1315939
                |
          garch |
            L1. |  -5.45e-18          .        .       .            .           .
                |
          _cons |   .0002241   .0000338     6.63   0.000     .0001578    .0002903
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.076358     3.10   0.002     1.222581    5.441828
----------------+----------------------------------------------------------------
             df |         30   30.13803                      5.395943    232.8637
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2010Z]dummy_eventday = 0

           chi2(  1) =    0.86
         Prob > chi2 =    0.3529

 ( 1)  [reNG2010Z]dummy_daybefore = 0

           chi2(  1) =   44.68
         Prob > chi2 =    0.0000

 ( 1)  [reNG2010Z]dummy_dayafter = 0

           chi2(  1) =   38.23
         Prob > chi2 =    0.0000
(205 observations deleted)
(150 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  577.90582
                                                                 (not concave)
Gradient vector (length = 1342.855):
          reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.65e-06         1.12e-06         4.07e-07        -.0073636         1.783218        -.4642535        -.8225429

          reNG2011F:       reNG2011F:       reNG2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000006         __000007            _cons            _cons
r1         4.752408        -.9138474        -112.8792         13.39515         .2638738         1338.025         .1282869
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  577.90582
                                                                 (not concave)
Gradient vector (length = 1342.855):
          reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:       reNG2011F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.86e-06        -5.70e-06        -.0000179        -.0073632         1.783217         -.464253        -.8225426

          reNG2011F:       reNG2011F:       reNG2011F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011F            _cons         __000006         __000007            _cons            _cons
r1         4.752407        -.9138473        -112.8792         13.39515         .2638738         1338.025         .1282869
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     64.58
Log pseudolikelihood =  577.9058                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011F |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011F       |
 dummy_eventday |   .0034464   .0033321     1.03   0.301    -.0030844    .0099772
dummy_daybefore |   .0249408   .0038037     6.56   0.000     .0174858    .0323959
 dummy_dayafter |   .0259277   .0041599     6.23   0.000     .0177744     .034081
           reSP |   .1011729   .1346408     0.75   0.452    -.1627182     .365064
          reLib |   .0328101   .0469023     0.70   0.484    -.0591168     .124737
        reTnote |  -.0143477   .0643111    -0.22   0.823    -.1403951    .1116998
           reCR |   1.235406   .2075374     5.95   0.000     .8286406    1.642172
          reBDI |  -.0506276    .045491    -1.11   0.266    -.1397884    .0385332
      reCL2011F |  -.6812658   .1230189    -5.54   0.000    -.9223783   -.4401532
          _cons |  -.0031556    .001027    -3.07   0.002    -.0051685   -.0011428
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   7.28e-17   .0614879     0.00   1.000    -.1205141    .1205141
                |
          garch |
            L1. |  -5.58e-18          .        .       .            .           .
                |
          _cons |   .0001972   .0000293     6.74   0.000     .0001399    .0002546
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.298841     2.57   0.010     .7865233    5.877886
----------------+----------------------------------------------------------------
             df |         30   36.36754                      4.195749    359.0535
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011F]dummy_eventday = 0

           chi2(  1) =    1.07
         Prob > chi2 =    0.3010

 ( 1)  [reNG2011F]dummy_daybefore = 0

           chi2(  1) =   42.99
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011F]dummy_dayafter = 0

           chi2(  1) =   38.85
         Prob > chi2 =    0.0000
(226 observations deleted)
(171 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  581.25665
                                                                 (not concave)
Gradient vector (length = 241.4928):
          reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -7.53e-07        -3.22e-06         1.58e-06         .0507085         1.851832        -.4992785        -.8332167

          reNG2011G:       reNG2011G:       reNG2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000006         __000007            _cons            _cons
r1         5.096652        -.9325156        -116.7088         13.71132         .0402668         210.8996         .0205539
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  581.25665
                                                                 (not concave)
Gradient vector (length = 241.4928):
          reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:       reNG2011G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000195         1.63e-06        -8.11e-06         .0507086         1.851832        -.4992782        -.8332165

          reNG2011G:       reNG2011G:       reNG2011G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011G            _cons         __000006         __000007            _cons            _cons
r1          5.09665        -.9325155        -116.7088         13.71132         .0402668         210.8996         .0205539
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     60.38
Log pseudolikelihood =  581.2566                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011G |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011G       |
 dummy_eventday |   .0031356   .0033931     0.92   0.355    -.0035148     .009786
dummy_daybefore |   .0241016   .0037751     6.38   0.000     .0167026    .0315007
 dummy_dayafter |   .0250458   .0041116     6.09   0.000     .0169871    .0331045
           reSP |   .0941803   .1330915     0.71   0.479    -.1666743    .3550348
          reLib |   .0305922    .046724     0.65   0.513    -.0609853    .1221696
        reTnote |  -.0134498   .0635165    -0.21   0.832    -.1379399    .1110403
           reCR |   1.184917   .2032867     5.83   0.000     .7864821    1.583351
          reBDI |  -.0485153   .0460607    -1.05   0.292    -.1387927     .041762
      reCL2011G |  -.6544064   .1224684    -5.34   0.000      -.89444   -.4143727
          _cons |  -.0030802    .001026    -3.00   0.003     -.005091   -.0010693
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.55e-16   .0606436     0.00   1.000    -.1188593    .1188593
                |
          garch |
            L1. |  -1.28e-17          .        .       .            .           .
                |
          _cons |   .0001911   .0000289     6.61   0.000     .0001344    .0002477
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   1.791633     1.86   0.063     -.179331     6.84374
----------------+----------------------------------------------------------------
             df |         30   50.16571                      2.835829    939.9907
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011G]dummy_eventday = 0

           chi2(  1) =    0.85
         Prob > chi2 =    0.3554

 ( 1)  [reNG2011G]dummy_daybefore = 0

           chi2(  1) =   40.76
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011G]dummy_dayafter = 0

           chi2(  1) =   37.11
         Prob > chi2 =    0.0000
(245 observations deleted)
(193 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  582.61345
                                                                 (not concave)
Gradient vector (length = 1151.861):
          reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.91e-06         2.24e-06         2.95e-06         .0478011         1.811725        -.3779294        -.9587041

          reNG2011H:       reNG2011H:       reNG2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000006         __000007            _cons            _cons
r1         5.453693        -1.041164        -133.2308         12.01829        -.2159979        -1144.051        -.0977748
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  582.61345
                                                                 (not concave)
Gradient vector (length = 1151.861):
          reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:       reNG2011H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -6.22e-06        -4.84e-06        -2.31e-06         .0478012         1.811725        -.3779293        -.9587041

          reNG2011H:       reNG2011H:       reNG2011H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011H            _cons         __000006         __000007            _cons            _cons
r1         5.453693        -1.041164        -133.2308         12.01829        -.2159979        -1144.051        -.0977748
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    478.76
Log pseudolikelihood =  582.6134                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011H |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011H       |
 dummy_eventday |   .0026416   .0036049     0.73   0.464     -.004424    .0097071
dummy_daybefore |   .0231295   .0038225     6.05   0.000     .0156375    .0306216
 dummy_dayafter |   .0236436   .0041444     5.70   0.000     .0155206    .0317665
           reSP |   .0857661   .1323151     0.65   0.517    -.1735668     .345099
          reLib |   .0303405     .04739     0.64   0.522    -.0625423    .1232233
        reTnote |  -.0129455   .0626818    -0.21   0.836    -.1357996    .1099087
           reCR |   1.137684   .1999195     5.69   0.000     .7458486    1.529519
          reBDI |  -.0446005   .0484203    -0.92   0.357    -.1395025    .0503015
      reCL2011H |  -.6267761   .1238805    -5.06   0.000    -.8695775   -.3839748
          _cons |  -.0029754   .0010554    -2.82   0.005    -.0050439   -.0009069
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.56e-16   .0575367     0.00   1.000    -.1127699    .1127699
                |
          garch |
            L1. |  -1.38e-17          .        .       .            .           .
                |
          _cons |   .0001888   .0000285     6.63   0.000      .000133    .0002446
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205   2.800391     1.19   0.234    -2.156462    8.820871
----------------+----------------------------------------------------------------
             df |         30   78.41096                      2.115734     6776.16
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011H]dummy_eventday = 0

           chi2(  1) =    0.54
         Prob > chi2 =    0.4637

 ( 1)  [reNG2011H]dummy_daybefore = 0

           chi2(  1) =   36.61
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011H]dummy_dayafter = 0

           chi2(  1) =   32.55
         Prob > chi2 =    0.0000
(268 observations deleted)
(213 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  603.54964
                                                                 (not concave)
Gradient vector (length =    10879):
          reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -6.87e-07         3.19e-06         2.07e-06         .1755387         2.285373        -.1334763        -1.290946

          reNG2011J:       reNG2011J:       reNG2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000006         __000007            _cons            _cons
r1         7.407881        -1.349638        -177.3297         3.975114        -1.685073        -10877.55        -.7913291
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  603.54964
                                                                 (not concave)
Gradient vector (length =    10879):
          reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:       reNG2011J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000107         7.01e-07        -1.71e-06         .1755387         2.285373        -.1334762        -1.290946

          reNG2011J:       reNG2011J:       reNG2011J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011J            _cons         __000006         __000007            _cons            _cons
r1          7.40788        -1.349638        -177.3297         3.975114        -1.685073        -10877.55        -.7913291
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    610.55
Log pseudolikelihood =  603.5496                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011J |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011J       |
 dummy_eventday |   .0033216   .0027657     1.20   0.230    -.0020991    .0087422
dummy_daybefore |   .0207046   .0032279     6.41   0.000      .014378    .0270312
 dummy_dayafter |   .0178824   .0036584     4.89   0.000     .0107121    .0250527
           reSP |   .0741256   .1141408     0.65   0.516    -.1495863    .2978375
          reLib |   .0279666    .042049     0.67   0.506    -.0544479     .110381
        reTnote |  -.0094425   .0559621    -0.17   0.866    -.1191262    .1002412
           reCR |   .9174314    .178917     5.13   0.000     .5667605    1.268102
          reBDI |  -.0253669    .038067    -0.67   0.505    -.0999769    .0492431
      reCL2011J |  -.4964197   .1134633    -4.38   0.000    -.7188037   -.2740357
          _cons |  -.0025749   .0008862    -2.91   0.004    -.0043118    -.000838
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   3.99e-17   .0515647     0.00   1.000     -.101065     .101065
                |
          garch |
            L1. |  -1.88e-17          .        .       .            .           .
                |
          _cons |   .0001549   .0000241     6.42   0.000     .0001076    .0002022
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011J]dummy_eventday = 0

           chi2(  1) =    1.44
         Prob > chi2 =    0.2298

 ( 1)  [reNG2011J]dummy_daybefore = 0

           chi2(  1) =   41.14
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011J]dummy_dayafter = 0

           chi2(  1) =   23.89
         Prob > chi2 =    0.0000
(288 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  606.97208
                                                                 (not concave)
Gradient vector (length = 12415.49):
          reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.08e-06         2.22e-06        -1.87e-06         .2079374         2.371044         .0176699        -1.399365

          reNG2011K:       reNG2011K:       reNG2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000006         __000007            _cons            _cons
r1         7.445378        -1.500339        -185.9486         1.601978         -1.86127        -12414.09        -.8724756
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  606.97208
                                                                 (not concave)
Gradient vector (length = 12415.49):
          reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:       reNG2011K:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000116         -.000027         .0000324         .2079365         2.371044         .0176686        -1.399366

          reNG2011K:       reNG2011K:       reNG2011K:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011K            _cons         __000006         __000007            _cons            _cons
r1         7.445379        -1.500339        -185.9486         1.601978         -1.86127        -12414.09        -.8724756
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     37.26
Log pseudolikelihood =  606.9721                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011K |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011K       |
 dummy_eventday |   .0034599   .0027397     1.26   0.207    -.0019098    .0088296
dummy_daybefore |   .0196686   .0031613     6.22   0.000     .0134726    .0258646
 dummy_dayafter |   .0170768   .0035793     4.77   0.000     .0100615    .0240921
           reSP |   .0704897   .1119967     0.63   0.529    -.1490199    .2899992
          reLib |   .0274941   .0412713     0.67   0.505    -.0533962    .1083843
        reTnote |  -.0096509   .0546103    -0.18   0.860    -.1166851    .0973834
           reCR |   .8846489   .1770929     5.00   0.000     .5375533    1.231745
          reBDI |  -.0215231   .0374661    -0.57   0.566    -.0949553    .0519091
      reCL2011K |  -.4772111   .1128682    -4.23   0.000    -.6984286   -.2559935
          _cons |  -.0024863   .0008741    -2.84   0.004    -.0041996   -.0007731
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.39e-16   .0591482     0.00   1.000    -.1159284    .1159284
                |
          garch |
            L1. |  -1.54e-16          .        .       .            .           .
                |
          _cons |   .0001499   .0000241     6.21   0.000     .0001026    .0001972
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011K]dummy_eventday = 0

           chi2(  1) =    1.59
         Prob > chi2 =    0.2066

 ( 1)  [reNG2011K]dummy_daybefore = 0

           chi2(  1) =   38.71
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011K]dummy_dayafter = 0

           chi2(  1) =   22.76
         Prob > chi2 =    0.0000
(309 observations deleted)
(255 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  610.20163
                                                                 (not concave)
Gradient vector (length = 14322.33):
          reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         5.71e-06         5.07e-06         1.14e-06         .1770992          2.48589         .1661983        -1.571323

          reNG2011M:       reNG2011M:       reNG2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000006         __000007            _cons            _cons
r1         7.690939        -1.747547        -200.3481         .8478894        -2.082679        -14320.93        -.9724698
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  610.20163
                                                                 (not concave)
Gradient vector (length = 14322.33):
          reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:       reNG2011M:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         4.32e-06         3.49e-06        -5.85e-06         .1770993          2.48589         .1661986        -1.571323

          reNG2011M:       reNG2011M:       reNG2011M:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011M            _cons         __000006         __000007            _cons            _cons
r1         7.690939        -1.747547        -200.3481         .8478894        -2.082679        -14320.93        -.9724698
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     40.32
Log pseudolikelihood =  610.2016                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011M |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011M       |
 dummy_eventday |   .0029187   .0027034     1.08   0.280    -.0023799    .0082173
dummy_daybefore |   .0188962   .0030979     6.10   0.000     .0128243     .024968
 dummy_dayafter |   .0162421   .0035134     4.62   0.000      .009356    .0231282
           reSP |   .0644717   .1095943     0.59   0.556    -.1503291    .2792725
          reLib |   .0254708   .0403616     0.63   0.528    -.0536364     .104578
        reTnote |  -.0126559   .0534436    -0.24   0.813    -.1174034    .0920916
           reCR |   .8452472   .1731184     4.88   0.000     .5059413    1.184553
          reBDI |  -.0198724   .0368824    -0.54   0.590    -.0921606    .0524157
      reCL2011M |  -.4509553   .1112736    -4.05   0.000    -.6690476   -.2328631
          _cons |  -.0024382   .0008629    -2.83   0.005    -.0041296   -.0007469
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.49e-17   .0614388     0.00   1.000    -.1204179    .1204179
                |
          garch |
            L1. |  -2.09e-17          .        .       .            .           .
                |
          _cons |   .0001454   .0000238     6.10   0.000     .0000987    .0001921
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011M]dummy_eventday = 0

           chi2(  1) =    1.17
         Prob > chi2 =    0.2803

 ( 1)  [reNG2011M]dummy_daybefore = 0

           chi2(  1) =   37.20
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011M]dummy_dayafter = 0

           chi2(  1) =   21.37
         Prob > chi2 =    0.0000
(331 observations deleted)
(276 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  614.10622
                                                                 (not concave)
Gradient vector (length = 16028.17):
          reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.80e-06         1.07e-06         5.22e-06         .1465892         2.524113         .2391813         -1.65751

          reNG2011N:       reNG2011N:       reNG2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000006         __000007            _cons            _cons
r1         7.892597        -1.870734        -211.9698         1.419519        -2.244934        -16026.76        -1.047468
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  614.10622
                                                                 (not concave)
Gradient vector (length = 16028.17):
          reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:       reNG2011N:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -5.44e-08        -6.50e-06         3.69e-06         .1465892         2.524112         .2391813         -1.65751

          reNG2011N:       reNG2011N:       reNG2011N:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011N            _cons         __000006         __000007            _cons            _cons
r1         7.892597        -1.870734        -211.9698         1.419519        -2.244934        -16026.76        -1.047468
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     39.65
Log pseudolikelihood =  614.1062                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011N |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011N       |
 dummy_eventday |   .0029724   .0026597     1.12   0.264    -.0022405    .0081853
dummy_daybefore |   .0181605   .0030345     5.98   0.000     .0122129     .024108
 dummy_dayafter |   .0156501   .0034482     4.54   0.000     .0088917    .0224085
           reSP |   .0569127   .1071047     0.53   0.595    -.1530086     .266834
          reLib |   .0226878    .039575     0.57   0.566    -.0548778    .1002533
        reTnote |  -.0134039   .0520099    -0.26   0.797    -.1153414    .0885337
           reCR |   .8157902   .1680257     4.86   0.000      .486466    1.145114
          reBDI |  -.0186828   .0362001    -0.52   0.606    -.0896337    .0522681
      reCL2011N |  -.4320754   .1093006    -3.95   0.000    -.6463005   -.2178502
          _cons |  -.0023871   .0008474    -2.82   0.005    -.0040481   -.0007261
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.70e-17   .0616122     0.00   1.000    -.1207577    .1207577
                |
          garch |
            L1. |  -2.30e-17          .        .       .            .           .
                |
          _cons |   .0001401   .0000233     6.01   0.000     .0000944    .0001857
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011N]dummy_eventday = 0

           chi2(  1) =    1.25
         Prob > chi2 =    0.2637

 ( 1)  [reNG2011N]dummy_daybefore = 0

           chi2(  1) =   35.82
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011N]dummy_dayafter = 0

           chi2(  1) =   20.60
         Prob > chi2 =    0.0000
(351 observations deleted)
(296 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  616.34427
                                                                 (not concave)
Gradient vector (length = 16788.02):
          reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -9.06e-07         2.10e-06         4.14e-07         .1571369         2.589282         .3002197        -1.697452

          reNG2011Q:       reNG2011Q:       reNG2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000006         __000007            _cons            _cons
r1         8.070683        -1.900542        -214.2158         1.313731        -2.300864        -16786.66        -1.072764
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  616.34427
                                                                 (not concave)
Gradient vector (length = 16788.02):
          reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:       reNG2011Q:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         8.04e-06        -1.80e-06        -.0000191         .1571373         2.589281         .3002203        -1.697452

          reNG2011Q:       reNG2011Q:       reNG2011Q:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Q            _cons         __000006         __000007            _cons            _cons
r1         8.070681        -1.900542        -214.2158         1.313731        -2.300864        -16786.66        -1.072764
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     39.17
Log pseudolikelihood =  616.3443                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011Q |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011Q       |
 dummy_eventday |   .0030996   .0026266     1.18   0.238    -.0020484    .0082476
dummy_daybefore |   .0175108   .0029918     5.85   0.000     .0116469    .0233746
 dummy_dayafter |   .0152261   .0034061     4.47   0.000     .0085503     .021902
           reSP |   .0578662   .1058802     0.55   0.585    -.1496551    .2653875
          reLib |   .0212094   .0391197     0.54   0.588    -.0554639    .0978827
        reTnote |  -.0163813   .0513729    -0.32   0.750    -.1170703    .0843078
           reCR |   .7922506   .1641082     4.83   0.000     .4706045    1.113897
          reBDI |  -.0172197    .035729    -0.48   0.630    -.0872473     .052808
      reCL2011Q |  -.4217978   .1075902    -3.92   0.000    -.6326708   -.2109248
          _cons |  -.0023701   .0008361    -2.83   0.005    -.0040087   -.0007314
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.63e-17   .0622662     0.00   1.000    -.1220394    .1220394
                |
          garch |
            L1. |  -2.35e-17          .        .       .            .           .
                |
          _cons |   .0001371   .0000229     5.99   0.000     .0000922    .0001819
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011Q]dummy_eventday = 0

           chi2(  1) =    1.39
         Prob > chi2 =    0.2380

 ( 1)  [reNG2011Q]dummy_daybefore = 0

           chi2(  1) =   34.26
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011Q]dummy_dayafter = 0

           chi2(  1) =   19.98
         Prob > chi2 =    0.0000
(374 observations deleted)
(319 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  618.02441
                                                                 (not concave)
Gradient vector (length = 17817.36):
          reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.19e-06         4.02e-06         3.91e-06         .2170749         2.634235         .3470207        -1.693145

          reNG2011U:       reNG2011U:       reNG2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000006         __000007            _cons            _cons
r1         8.222389        -1.858513        -215.2371         1.151889        -2.403278        -17816.06        -1.121354
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  618.02441
                                                                 (not concave)
Gradient vector (length = 17817.36):
          reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:       reNG2011U:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000372        -.0000284         -.000029         .2170756         2.634234         .3470215        -1.693144

          reNG2011U:       reNG2011U:       reNG2011U:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011U            _cons         __000006         __000007            _cons            _cons
r1         8.222388        -1.858513        -215.2372         1.151889        -2.403278        -17816.06        -1.121354
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     34.66
Log pseudolikelihood =  618.0244                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011U |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011U       |
 dummy_eventday |   .0031573   .0025993     1.21   0.224    -.0019373    .0082519
dummy_daybefore |   .0173257   .0029414     5.89   0.000     .0115608    .0230907
 dummy_dayafter |   .0152116   .0033868     4.49   0.000     .0085736    .0218496
           reSP |   .0555705   .1049041     0.53   0.596    -.1500378    .2611787
          reLib |   .0201128   .0386548     0.52   0.603    -.0556492    .0958748
        reTnote |  -.0176341   .0508719    -0.35   0.729    -.1173412     .082073
           reCR |   .7770857   .1615011     4.81   0.000     .4605493    1.093622
          reBDI |  -.0169997   .0352478    -0.48   0.630    -.0860841    .0520847
      reCL2011U |  -.4148088   .1064348    -3.90   0.000    -.6234171   -.2062005
          _cons |  -.0023617   .0008276    -2.85   0.004    -.0039837   -.0007397
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   4.01e-16   .0630775     0.00   1.000    -.1236296    .1236296
                |
          garch |
            L1. |  -3.84e-16          .        .       .            .           .
                |
          _cons |   .0001349   .0000227     5.94   0.000     .0000904    .0001794
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011U]dummy_eventday = 0

           chi2(  1) =    1.48
         Prob > chi2 =    0.2245

 ( 1)  [reNG2011U]dummy_daybefore = 0

           chi2(  1) =   34.70
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011U]dummy_dayafter = 0

           chi2(  1) =   20.17
         Prob > chi2 =    0.0000
(395 observations deleted)
(339 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  622.85672
                                                                 (not concave)
Gradient vector (length = 17593.58):
          reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         8.23e-06         5.61e-06         6.31e-06         .3002569         2.571733         .3713596        -1.629529

          reNG2011V:       reNG2011V:       reNG2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000006         __000007            _cons            _cons
r1          8.08989        -1.761735        -213.0803         2.896446        -2.260787        -17592.29        -1.058949
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  622.85672
                                                                 (not concave)
Gradient vector (length = 17593.58):
          reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:       reNG2011V:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -.0000251        -.0000441        -.0000372         .3002577         2.571732         .3713606        -1.629529

          reNG2011V:       reNG2011V:       reNG2011V:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011V            _cons         __000006         __000007            _cons            _cons
r1         8.089887        -1.761735        -213.0804         2.896446        -2.260787        -17592.29        -1.058949
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    508.95
Log pseudolikelihood =  622.8567                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011V |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011V       |
 dummy_eventday |   .0030235   .0025299     1.20   0.232     -.001935     .007982
dummy_daybefore |   .0164966   .0028573     5.77   0.000     .0108964    .0220969
 dummy_dayafter |    .014967   .0033324     4.49   0.000     .0084355    .0214984
           reSP |   .0562824    .102364     0.55   0.582    -.1443473    .2569122
          reLib |   .0201478   .0376169     0.54   0.592      -.05358    .0938756
        reTnote |  -.0184831   .0498575    -0.37   0.711     -.116202    .0792358
           reCR |   .7505081   .1567971     4.79   0.000     .4431914    1.057825
          reBDI |  -.0163984   .0342772    -0.48   0.632    -.0835805    .0507837
      reCL2011V |  -.4019271   .1048178    -3.83   0.000    -.6073662    -.196488
          _cons |  -.0023437   .0008077    -2.90   0.004    -.0039267   -.0007607
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.08e-15   .0619482     0.00   1.000    -.1214162    .1214162
                |
          garch |
            L1. |  -7.87e-16          .        .       .            .           .
                |
          _cons |   .0001285   .0000216     5.96   0.000     .0000863    .0001708
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011V]dummy_eventday = 0

           chi2(  1) =    1.43
         Prob > chi2 =    0.2320

 ( 1)  [reNG2011V]dummy_daybefore = 0

           chi2(  1) =   33.33
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011V]dummy_dayafter = 0

           chi2(  1) =   20.17
         Prob > chi2 =    0.0000
(416 observations deleted)
(361 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  635.45211
                                                                 (not concave)
Gradient vector (length = 20696.52):
          reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -4.54e-06        -1.69e-06        -2.78e-06         .3094962         2.564778          .957722        -1.769522

          reNG2011X:       reNG2011X:       reNG2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000006         __000007            _cons            _cons
r1         8.335309        -1.859307        -230.4646           .99707        -2.350811        -20695.23         -1.08491
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  635.45211
                                                                 (not concave)
Gradient vector (length = 20696.52):
          reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:       reNG2011X:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000141          .000049         .0000276         .3094958         2.564779         .9577215        -1.769522

          reNG2011X:       reNG2011X:       reNG2011X:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011X            _cons         __000006         __000007            _cons            _cons
r1         8.335313        -1.859307        -230.4645           .99707        -2.350811        -20695.23         -1.08491
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    431.91
Log pseudolikelihood =  635.4521                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011X |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011X       |
 dummy_eventday |   .0029334   .0023704     1.24   0.216    -.0017125    .0075793
dummy_daybefore |   .0138673     .00264     5.25   0.000     .0086929    .0190416
 dummy_dayafter |   .0131607   .0031425     4.19   0.000     .0070015    .0193199
           reSP |   .0498429   .0940038     0.53   0.596    -.1344013     .234087
          reLib |   .0204205   .0351691     0.58   0.561    -.0485096    .0893506
        reTnote |  -.0190098   .0468238    -0.41   0.685    -.1107828    .0727631
           reCR |   .6641932   .1477281     4.50   0.000     .3746514     .953735
          reBDI |  -.0100836   .0319872    -0.32   0.753    -.0727775    .0526102
      reCL2011X |  -.3431892   .0989848    -3.47   0.001    -.5371958   -.1491827
          _cons |  -.0022227   .0007616    -2.92   0.004    -.0037155   -.0007299
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.91e-16   .0670883     0.00   1.000    -.1314907    .1314907
                |
          garch |
            L1. |  -2.08e-16          .        .       .            .           .
                |
          _cons |   .0001136   .0000191     5.94   0.000     .0000761    .0001511
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011X]dummy_eventday = 0

           chi2(  1) =    1.53
         Prob > chi2 =    0.2159

 ( 1)  [reNG2011X]dummy_daybefore = 0

           chi2(  1) =   27.59
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011X]dummy_dayafter = 0

           chi2(  1) =   17.54
         Prob > chi2 =    0.0000
(437 observations deleted)
(686 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  647.34102
                                                                 (not concave)
Gradient vector (length = 22398.89):
          reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         3.69e-06         5.46e-06        -8.59e-07         .3584993         2.525413         1.346061        -1.861112

          reNG2011Z:       reNG2011Z:       reNG2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000006         __000007            _cons            _cons
r1         8.522483        -1.863834        -237.3216        -.9435969        -2.262092        -22397.63        -1.031957
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  647.34102
                                                                 (not concave)
Gradient vector (length = 22398.89):
          reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:       reNG2011Z:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.79e-07         3.06e-06         .0000143         .3584989         2.525414          1.34606        -1.861113

          reNG2011Z:       reNG2011Z:       reNG2011Z:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2011Z            _cons         __000006         __000007            _cons            _cons
r1         8.522484        -1.863834        -237.3216        -.9435969        -2.262092        -22397.63        -1.031957
------------------------------------------------------------------------------

ARCH family regression

Sample: 871 - 1073                                 Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    363.20
Log pseudolikelihood =   647.341                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2011Z |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2011Z       |
 dummy_eventday |   .0026536   .0022372     1.19   0.236    -.0017313    .0070385
dummy_daybefore |   .0116901   .0024607     4.75   0.000     .0068672    .0165129
 dummy_dayafter |   .0113752   .0029691     3.83   0.000     .0055558    .0171947
           reSP |   .0358826   .0867635     0.41   0.679    -.1341708     .205936
          reLib |   .0168537   .0331954     0.51   0.612    -.0482082    .0819156
        reTnote |   -.017847   .0441418    -0.40   0.686    -.1043633    .0686693
           reCR |    .595193   .1384714     4.30   0.000     .3237939     .866592
          reBDI |  -.0068758   .0301366    -0.23   0.820    -.0659424    .0521909
      reCL2011Z |  -.2879989   .0933446    -3.09   0.002     -.470951   -.1050468
          _cons |  -.0020565   .0007176    -2.87   0.004     -.003463     -.00065
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   1.07e-17   .0723309     0.00   1.000     -.141766     .141766
                |
          garch |
            L1. |  -2.46e-17          .        .       .            .           .
                |
          _cons |    .000101   .0000169     5.99   0.000     .0000679    .0001341
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)

 ( 1)  [reNG2011Z]dummy_eventday = 0

           chi2(  1) =    1.41
         Prob > chi2 =    0.2356

 ( 1)  [reNG2011Z]dummy_daybefore = 0

           chi2(  1) =   22.57
         Prob > chi2 =    0.0000

 ( 1)  [reNG2011Z]dummy_dayafter = 0

           chi2(  1) =   14.68
         Prob > chi2 =    0.0001
(599 observations deleted)
(404 observations deleted)
(877 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  653.89091
                                                                 (not concave)
Gradient vector (length = 23839.43):
          reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -2.71e-06        -5.07e-07         6.06e-06         .4698571         2.474764         1.616328        -1.817886

          reNG2012F:       reNG2012F:       reNG2012F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012F            _cons         __000006         __000007            _cons            _cons
r1          8.50497        -1.681724        -245.4294        -1.955565        -2.257186        -23838.17        -1.024545
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  653.89091
                                                                 (not concave)
Gradient vector (length = 23839.43):
          reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:       reNG2012F:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.58e-06         .0000277         3.71e-06         .4698574         2.474764         1.616329        -1.817886

          reNG2012F:       reNG2012F:       reNG2012F:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012F            _cons         __000006         __000007            _cons            _cons
r1         8.504972        -1.681723        -245.4293        -1.955565        -2.257186        -23838.17        -1.024545
------------------------------------------------------------------------------

ARCH family regression

Sample: 675 - 877                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    337.23
Log pseudolikelihood =  653.8909                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012F |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012F       |
 dummy_eventday |   .0025244   .0021721     1.16   0.245    -.0017329    .0067817
dummy_daybefore |   .0108363    .002367     4.58   0.000     .0061971    .0154756
 dummy_dayafter |    .011012   .0028961     3.80   0.000     .0053358    .0166882
           reSP |   .0391289   .0832884     0.47   0.638    -.1241134    .2023713
          reLib |   .0129898   .0320298     0.41   0.685    -.0497875    .0757671
        reTnote |   -.014969   .0429186    -0.35   0.727    -.0990879    .0691498
           reCR |   .5583788    .134457     4.15   0.000      .294848    .8219096
          reBDI |  -.0050438   .0291681    -0.17   0.863    -.0622122    .0521247
      reCL2012F |  -.2693885   .0907099    -2.97   0.003    -.4471766   -.0916003
          _cons |  -.0019891   .0006982    -2.85   0.004    -.0033576   -.0006207
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |   2.44e-18    .073947     0.00   1.000    -.1449335    .1449335
                |
          garch |
            L1. |  -2.37e-17          .        .       .            .           .
                |
          _cons |   .0000947   .0000157     6.02   0.000     .0000639    .0001255
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  [reNG2012F]dummy_eventday = 0

           chi2(  1) =    1.35
         Prob > chi2 =    0.2452

 ( 1)  [reNG2012F]dummy_daybefore = 0

           chi2(  1) =   20.96
         Prob > chi2 =    0.0000

 ( 1)  [reNG2012F]dummy_dayafter = 0

           chi2(  1) =   14.46
         Prob > chi2 =    0.0001
(423 observations deleted)
(424 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  654.25194
                                                                 (not concave)
Gradient vector (length =  22814.1):
          reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.72e-06         5.36e-06        -2.84e-06         .5160617         2.425558         1.800266        -1.824097

          reNG2012G:       reNG2012G:       reNG2012G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012G            _cons         __000006         __000007            _cons            _cons
r1          8.38832        -1.661352        -247.3462        -3.683322        -2.151037        -22812.76        -.9774822
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  654.25194
                                                                 (not concave)
Gradient vector (length =  22814.1):
          reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:       reNG2012G:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         1.91e-07         2.65e-06         2.29e-06         .5160615         2.425558         1.800266        -1.824097

          reNG2012G:       reNG2012G:       reNG2012G:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012G            _cons         __000006         __000007            _cons            _cons
r1          8.38832        -1.661352        -247.3462        -3.683322        -2.151037        -22812.76        -.9774822
------------------------------------------------------------------------------

ARCH family regression

Sample: 675 - 877                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    342.56
Log pseudolikelihood =  654.2519                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012G |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012G       |
 dummy_eventday |   .0022756   .0021827     1.04   0.297    -.0020024    .0065535
dummy_daybefore |   .0108628   .0023602     4.60   0.000     .0062369    .0154888
 dummy_dayafter |   .0110338    .002898     3.81   0.000     .0053538    .0167138
           reSP |    .036199   .0825257     0.44   0.661    -.1255483    .1979463
          reLib |   .0119162   .0322151     0.37   0.711    -.0512244    .0750567
        reTnote |  -.0145225   .0431433    -0.34   0.736    -.0990819    .0700368
           reCR |   .5613876   .1350811     4.16   0.000     .2966334    .8261418
          reBDI |  -.0047359   .0291691    -0.16   0.871    -.0619063    .0524344
      reCL2012G |  -.2680033   .0913535    -2.93   0.003    -.4470529   -.0889537
          _cons |  -.0020079   .0006993    -2.87   0.004    -.0033786   -.0006373
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -1.16e-17   .0866144    -0.00   1.000    -.1697611    .1697611
                |
          garch |
            L1. |  -1.91e-17          .        .       .            .           .
                |
          _cons |   .0000943    .000016     5.88   0.000     .0000629    .0001257
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  [reNG2012G]dummy_eventday = 0

           chi2(  1) =    1.09
         Prob > chi2 =    0.2971

 ( 1)  [reNG2012G]dummy_daybefore = 0

           chi2(  1) =   21.18
         Prob > chi2 =    0.0000

 ( 1)  [reNG2012G]dummy_dayafter = 0

           chi2(  1) =   14.50
         Prob > chi2 =    0.0001
(443 observations deleted)
(445 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  650.05097
                                                                 (not concave)
Gradient vector (length = 21195.93):
          reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         2.52e-06         6.93e-06         1.94e-06          .585331         2.210526         2.024949        -1.666019

          reNG2012H:       reNG2012H:       reNG2012H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012H            _cons         __000006         __000007            _cons            _cons
r1         7.976716        -1.539842        -232.4219        -4.489404        -2.082203        -21194.66        -.9398956
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  650.05097
                                                                 (not concave)
Gradient vector (length = 21195.93):
          reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:       reNG2012H:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -3.15e-06         4.89e-06        -5.41e-06         .5853312         2.210526         2.024949        -1.666019

          reNG2012H:       reNG2012H:       reNG2012H:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012H            _cons         __000006         __000007            _cons            _cons
r1         7.976716        -1.539842        -232.4219        -4.489404        -2.082203        -21194.66        -.9398956
------------------------------------------------------------------------------

ARCH family regression

Sample: 675 - 877                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =     27.52
Log pseudolikelihood =   650.051                   Prob > chi2     =    0.0003

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012H |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012H       |
 dummy_eventday |   .0028122    .002226     1.26   0.206    -.0015507     .007175
dummy_daybefore |   .0104032   .0023861     4.36   0.000     .0057266    .0150798
 dummy_dayafter |   .0107983   .0029141     3.71   0.000     .0050868    .0165098
           reSP |   .0329157     .08397     0.39   0.695    -.1316626    .1974939
          reLib |   .0121844   .0327005     0.37   0.709    -.0519073    .0762761
        reTnote |  -.0137266   .0447286    -0.31   0.759     -.101393    .0739397
           reCR |   .5591451   .1378368     4.06   0.000       .28899    .8293001
          reBDI |  -.0030962   .0295768    -0.10   0.917    -.0610656    .0548732
      reCL2012H |   -.262365   .0932085    -2.81   0.005    -.4450503   -.0796797
          _cons |  -.0019713   .0007133    -2.76   0.006    -.0033694   -.0005732
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -2.13e-17   .0897597    -0.00   1.000    -.1759258    .1759258
                |
          garch |
            L1. |  -1.68e-17          .        .       .            .           .
                |
          _cons |   .0000982   .0000166     5.93   0.000     .0000658    .0001307
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  [reNG2012H]dummy_eventday = 0

           chi2(  1) =    1.60
         Prob > chi2 =    0.2065

 ( 1)  [reNG2012H]dummy_daybefore = 0

           chi2(  1) =   19.01
         Prob > chi2 =    0.0000

 ( 1)  [reNG2012H]dummy_dayafter = 0

           chi2(  1) =   13.73
         Prob > chi2 =    0.0002
(465 observations deleted)
(465 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

------------------------------------------------------------------------------
Iteration 0:
(setting optimization to BHHH)
                                             log pseudolikelihood =  647.87119
                                                                 (not concave)
Gradient vector (length = 25959.87):
          reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1        -1.15e-06         1.78e-06        -1.48e-06          1.00457         2.519481          3.24107        -1.736081

          reNG2012J:       reNG2012J:       reNG2012J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012J            _cons         __000006         __000007            _cons            _cons
r1          6.30601        -1.611992        -189.9602        -15.09532        -2.614426        -25959.17        -1.163588
------------------------------------------------------------------------------
Iteration 1:
                                             log pseudolikelihood =  647.87119
                                                                 (not concave)
Gradient vector (length = 25959.87):
          reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:       reNG2012J:
                                                                                                                          
     dummy_eventday  dummy_daybefore   dummy_dayafter             reSP            reLib          reTnote             reCR
r1         .0000381        -.0000228         .0000289         1.004568         2.519481         3.241068        -1.736082

          reNG2012J:       reNG2012J:       reNG2012J:            ARCH:            ARCH:            ARCH:          lndfm2:
                                                                     L.               L.                                  
              reBDI        reCL2012J            _cons         __000006         __000007            _cons            _cons
r1         6.306007        -1.611992        -189.9602        -15.09532        -2.614426        -25959.17        -1.163588
------------------------------------------------------------------------------

ARCH family regression

Sample: 675 - 877                                  Number of obs   =       203
Distribution: t                                    Wald chi2(7)    =    250.72
Log pseudolikelihood =  647.8712                   Prob > chi2     =    0.0000

---------------------------------------------------------------------------------
                |             Semirobust
      reNG2012J |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
reNG2012J       |
 dummy_eventday |    .002034   .0021307     0.95   0.340     -.002142      .00621
dummy_daybefore |     .00773   .0024592     3.14   0.002     .0029101    .0125499
 dummy_dayafter |   .0087218   .0029087     3.00   0.003     .0030209    .0144227
           reSP |   .0346489   .0842188     0.41   0.681     -.130417    .1997147
          reLib |   .0077304    .034195     0.23   0.821    -.0592905    .0747513
        reTnote |  -.0134396    .046123    -0.29   0.771     -.103839    .0769597
           reCR |   .5206772   .1288673     4.04   0.000     .2681019    .7732524
          reBDI |   .0038274   .0298979     0.13   0.898    -.0547714    .0624262
      reCL2012J |  -.2353334   .0928034    -2.54   0.011    -.4172248    -.053442
          _cons |  -.0016971   .0006802    -2.50   0.013    -.0030302   -.0003639
----------------+----------------------------------------------------------------
ARCH            |
           arch |
            L1. |  -2.53e-16          .        .       .            .           .
                |
          garch |
            L1. |  -3.89e-17          .        .       .            .           .
                |
          _cons |   .0001007   .0000128     7.87   0.000     .0000756    .0001258
----------------+----------------------------------------------------------------
        /lndfm2 |   3.332205          .        .       .            .           .
----------------+----------------------------------------------------------------
             df |         30          .                             .           .
---------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)

 ( 1)  [reNG2012J]dummy_eventday = 0

           chi2(  1) =    0.91
         Prob > chi2 =    0.3398

 ( 1)  [reNG2012J]dummy_daybefore = 0

           chi2(  1) =    9.88
         Prob > chi2 =    0.0017

 ( 1)  [reNG2012J]dummy_dayafter = 0

           chi2(  1) =    8.99
         Prob > chi2 =    0.0027
(note: file C:/yourdirectory/temp_garch.dta not found)
file C:/yourdirectory/temp_garch.dta saved
(674 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
resid_~2010V |    200    0.98738      1.882     1.455    0.07281
resid_~2010X |    200    0.98919      1.612     1.099    0.13584
resid_~2010Z |    200    0.99311      1.028     0.064    0.47432
resid_~2011F |    200    0.99258      1.107     0.233    0.40777
resid_~2011G |    200    0.99242      1.131     0.284    0.38812
resid_~2011H |    200    0.99071      1.386     0.752    0.22609
resid_~2011J |    200    0.98662      1.996     1.591    0.05584
resid_~2011K |    200    0.98578      2.122     1.731    0.04175
resid_~2011M |    200    0.98399      2.389     2.004    0.02256
resid_~2011N |    200    0.98264      2.590     2.190    0.01427
resid_~2011Q |    200    0.98234      2.635     2.229    0.01289
resid_~2011U |    200    0.98202      2.682     2.270    0.01160
resid_~2011V |    200    0.98314      2.516     2.123    0.01689
resid_~2011X |    200    0.98154      2.754     2.331    0.00988
resid_~2011Z |    200    0.98106      2.825     2.389    0.00844
resid_~2012F |    200    0.98007      2.974     2.508    0.00608
resid_~2012G |    200    0.98066      2.885     2.438    0.00739
resid_~2012H |    200    0.97994      2.993     2.522    0.00583
resid_~2012J |    200    0.97535      3.677     2.996    0.00137
Jarque-Bera normality test:  2.897 Chi(2)  .2349
Jarque-Bera test for Ho: normality: (resid_NG_2010V)
Jarque-Bera normality test:  2.459 Chi(2)  .2924
Jarque-Bera test for Ho: normality: (resid_NG_2010X)
Jarque-Bera normality test:  2.149 Chi(2)  .3414
Jarque-Bera test for Ho: normality: (resid_NG_2010Z)
Jarque-Bera normality test:  2.245 Chi(2)  .3255
Jarque-Bera test for Ho: normality: (resid_NG_2011F)
Jarque-Bera normality test:  2.518 Chi(2)  .2839
Jarque-Bera test for Ho: normality: (resid_NG_2011G)
Jarque-Bera normality test:  3.748 Chi(2)  .1535
Jarque-Bera test for Ho: normality: (resid_NG_2011H)
Jarque-Bera normality test:  11.56 Chi(2)  .0031
Jarque-Bera test for Ho: normality: (resid_NG_2011J)
Jarque-Bera normality test:  13.18 Chi(2)  .0014
Jarque-Bera test for Ho: normality: (resid_NG_2011K)
Jarque-Bera normality test:  15.71 Chi(2)  3.9e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011M)
Jarque-Bera normality test:   17.6 Chi(2)  1.5e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011N)
Jarque-Bera normality test:  18.12 Chi(2)  1.2e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011Q)
Jarque-Bera normality test:  18.92 Chi(2)  7.8e-05
Jarque-Bera test for Ho: normality: (resid_NG_2011U)
Jarque-Bera normality test:   17.1 Chi(2)  1.9e-04
Jarque-Bera test for Ho: normality: (resid_NG_2011V)
Jarque-Bera normality test:  19.41 Chi(2)  6.1e-05
Jarque-Bera test for Ho: normality: (resid_NG_2011X)
Jarque-Bera normality test:  19.21 Chi(2)  6.8e-05
Jarque-Bera test for Ho: normality: (resid_NG_2011Z)
Jarque-Bera normality test:  19.64 Chi(2)  5.4e-05
Jarque-Bera test for Ho: normality: (resid_NG_2012F)
Jarque-Bera normality test:   18.6 Chi(2)  9.1e-05
Jarque-Bera test for Ho: normality: (resid_NG_2012G)
Jarque-Bera normality test:  17.95 Chi(2)  1.3e-04
Jarque-Bera test for Ho: normality: (resid_NG_2012H)
Jarque-Bera normality test:  23.13 Chi(2)  9.5e-06
Jarque-Bera test for Ho: normality: (resid_NG_2012J)
file C:/yourdirectory/output/graham_resids_NG_garch_12mo.dta saved
(674 observations deleted)
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)
file C:/yourdirectory/output/graham_kdensity_NG_garch_12mo.dta saved
(876 observations deleted)
(note: j = 201010 201011 201012 201101 201102 201103 201104 201105 201106 201107 201108 201109 201110 201111 201112 201201
>  201202 201203 201204)

Data                               wide   ->   long
-----------------------------------------------------------------------------
Number of obs.                        1   ->      19
Number of variables                 172   ->      11
j variable (19 values)                    ->   contract
xij variables:
b_NG_garch_Day201010 b_NG_garch_Day201011 ... b_NG_garch_Day201204->b_NG_garch_Day
se_NG_garch_Day201010 se_NG_garch_Day201011 ... se_NG_garch_Day201204->se_NG_garch_Day
p_NG_garch_Day201010 p_NG_garch_Day201011 ... p_NG_garch_Day201204->p_NG_garch_Day
b_NG_garch_Before201010 b_NG_garch_Before201011 ... b_NG_garch_Before201204->b_NG_garch_Before
se_NG_garch_Before201010 se_NG_garch_Before201011 ... se_NG_garch_Before201204->se_NG_garch_Before
p_NG_garch_Before201010 p_NG_garch_Before201011 ... p_NG_garch_Before201204->p_NG_garch_Before
b_NG_garch_After201010 b_NG_garch_After201011 ... b_NG_garch_After201204->b_NG_garch_After
se_NG_garch_After201010 se_NG_garch_After201011 ... se_NG_garch_After201204->se_NG_garch_After
p_NG_garch_After201010 p_NG_garch_After201011 ... p_NG_garch_After201204->p_NG_garch_After
-----------------------------------------------------------------------------
(note: file C:/yourdirectory/output/coeffs_NG_garch.dta not found)
file C:/yourdirectory/output/coeffs_NG_garch.dta saved
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(1506 missing values generated)
(1506 real changes made)
(12461 observations deleted)
(5232 observations deleted)
(11146 observations deleted)
(722 observations deleted)
(4664 observations deleted)
(235 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(1072 real changes made)
(203 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.58
       Model |  .021346626     6  .003557771           Prob > F      =  0.0000
    Residual |  .091964108   196  .000469205           R-squared     =  0.1884
-------------+------------------------------           Adj R-squared =  0.1635
       Total |  .113310734   202  .000560944           Root MSE      =  .02166

------------------------------------------------------------------------------
   reNG2010V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0658337   .1895583     0.35   0.729    -.3080021    .4396695
       reLib |   .0536817   .1018362     0.53   0.599    -.1471536    .2545171
     reTnote |  -.0246012   .1039316    -0.24   0.813    -.2295689    .1803665
        reCR |   1.869986   .2856773     6.55   0.000      1.30659    2.433381
       reBDI |  -.0387572   .0589022    -0.66   0.511    -.1549208    .0774063
   reCL2010V |  -.9925048   .1819056    -5.46   0.000    -1.351248   -.6337613
       _cons |  -.0031184   .0015409    -2.02   0.044    -.0061574   -.0000795
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(434 observations deleted)
(108 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    7.35
       Model |    .0143538     6    .0023923           Prob > F      =  0.0000
    Residual |  .063810585   196  .000325564           R-squared     =  0.1836
-------------+------------------------------           Adj R-squared =  0.1586
       Total |  .078164385   202  .000386952           Root MSE      =  .01804

------------------------------------------------------------------------------
   reNG2010X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0863624   .1585568     0.54   0.587     -.226334    .3990588
       reLib |    .059335   .0848221     0.70   0.485    -.1079461    .2266162
     reTnote |  -.0203331     .08646    -0.24   0.814    -.1908444    .1501783
        reCR |   1.532059   .2398525     6.39   0.000     1.059036    2.005082
       reBDI |  -.0312011   .0490701    -0.64   0.526    -.1279741     .065572
   reCL2010X |  -.8288448    .156292    -5.30   0.000    -1.137075   -.5206148
       _cons |  -.0030888   .0012834    -2.41   0.017      -.00562   -.0005577
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(434 observations deleted)
(682 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    6.70
       Model |  .009608339     6   .00160139           Prob > F      =  0.0000
    Residual |  .046823041   196  .000238893           R-squared     =  0.1703
-------------+------------------------------           Adj R-squared =  0.1449
       Total |   .05643138   202  .000279363           Root MSE      =  .01546

------------------------------------------------------------------------------
   reNG2010Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0808178    .136187     0.59   0.554    -.1877622    .3493978
       reLib |   .0496621   .0726714     0.68   0.495    -.0936562    .1929805
     reTnote |   -.006561   .0740306    -0.09   0.929    -.1525599    .1394378
        reCR |     1.2445   .2063658     6.03   0.000     .8375169    1.651482
       reBDI |   -.029123   .0420455    -0.69   0.489    -.1120428    .0537967
   reCL2010Z |   -.673836   .1373062    -4.91   0.000    -.9446233   -.4030488
       _cons |   -.002914    .001099    -2.65   0.009    -.0050814   -.0007465
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(205 observations deleted)
(150 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    6.74
       Model |  .008496526     6  .001416088           Prob > F      =  0.0000
    Residual |  .041201008   196  .000210209           R-squared     =  0.1710
-------------+------------------------------           Adj R-squared =  0.1456
       Total |  .049697533   202  .000246027           Root MSE      =   .0145

------------------------------------------------------------------------------
   reNG2011F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |    .079034   .1278844     0.62   0.537    -.1731722    .3312401
       reLib |   .0475323   .0681738     0.70   0.486    -.0869161    .1819807
     reTnote |  -.0153256   .0694336    -0.22   0.826    -.1522584    .1216072
        reCR |   1.168284   .1936988     6.03   0.000     .7862828    1.550286
       reBDI |  -.0273598   .0394501    -0.69   0.489    -.1051611    .0504414
   reCL2011F |  -.6250196   .1303302    -4.80   0.000    -.8820492     -.36799
       _cons |  -.0028111   .0010306    -2.73   0.007    -.0048435   -.0007786
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(226 observations deleted)
(171 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    6.48
       Model |  .007904182     6  .001317364           Prob > F      =  0.0000
    Residual |  .039871389   196  .000203425           R-squared     =  0.1654
-------------+------------------------------           Adj R-squared =  0.1399
       Total |  .047775571   202  .000236513           Root MSE      =  .01426

------------------------------------------------------------------------------
   reNG2011G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |    .072843   .1258782     0.58   0.563    -.1754066    .3210927
       reLib |   .0447624    .067065     0.67   0.505    -.0874993    .1770241
     reTnote |  -.0141112   .0683066    -0.21   0.837    -.1488214     .120599
        reCR |   1.121056   .1898354     5.91   0.000      .746674    1.495439
       reBDI |  -.0259193   .0388115    -0.67   0.505    -.1024611    .0506225
   reCL2011G |  -.6002361   .1290317    -4.65   0.000    -.8547048   -.3457673
       _cons |  -.0027498   .0010135    -2.71   0.007    -.0047486   -.0007509
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(245 observations deleted)
(193 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    6.13
       Model |  .007379429     6  .001229905           Prob > F      =  0.0000
    Residual |  .039308831   196  .000200555           R-squared     =  0.1581
-------------+------------------------------           Adj R-squared =  0.1323
       Total |  .046688259   202   .00023113           Root MSE      =  .01416

------------------------------------------------------------------------------
   reNG2011H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0656414   .1250043     0.53   0.600    -.1808847    .3121675
       reLib |   .0438107   .0665956     0.66   0.511    -.0875252    .1751466
     reTnote |  -.0134967   .0678238    -0.20   0.842    -.1472547    .1202614
        reCR |   1.077798   .1875071     5.75   0.000     .7080076    1.447589
       reBDI |   -.022919   .0385361    -0.59   0.553    -.0989177    .0530797
   reCL2011H |  -.5752263    .128605    -4.47   0.000    -.8288535   -.3215991
       _cons |  -.0026635   .0010062    -2.65   0.009    -.0046478   -.0006792
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(268 observations deleted)
(213 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    5.05
       Model |  .004969615     6  .000828269           Prob > F      =  0.0001
    Residual |  .032130382   196  .000163931           R-squared     =  0.1340
-------------+------------------------------           Adj R-squared =  0.1074
       Total |  .037099997   202  .000183663           Root MSE      =   .0128

------------------------------------------------------------------------------
   reNG2011J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0586193   .1130223     0.52   0.605    -.1642766    .2815152
       reLib |    .039448   .0602049     0.66   0.513    -.0792847    .1581806
     reTnote |  -.0094234   .0613202    -0.15   0.878    -.1303554    .1115087
        reCR |   .8717112   .1687108     5.17   0.000     .5389897    1.204433
       reBDI |   -.007841   .0348401    -0.23   0.822    -.0765506    .0608685
   reCL2011J |  -.4557864   .1167524    -3.90   0.000    -.6860386   -.2255342
       _cons |  -.0023139   .0009096    -2.54   0.012    -.0041078   -.0005201
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(288 observations deleted)
(233 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.94
       Model |  .004699548     6  .000783258           Prob > F      =  0.0001
    Residual |  .031057873   196  .000158459           R-squared     =  0.1314
-------------+------------------------------           Adj R-squared =  0.1048
       Total |  .035757421   202  .000177017           Root MSE      =  .01259

------------------------------------------------------------------------------
   reNG2011K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0556583   .1111317     0.50   0.617    -.1635092    .2748258
       reLib |   .0384781   .0591915     0.65   0.516    -.0782559     .155212
     reTnote |   -.009609   .0602893    -0.16   0.874     -.128508      .10929
        reCR |   .8415992   .1649456     5.10   0.000     .5163032    1.166895
       reBDI |  -.0049829   .0342534    -0.15   0.884    -.0725354    .0625695
   reCL2011K |  -.4385146   .1151214    -3.81   0.000    -.6655502   -.2114791
       _cons |  -.0022372   .0008942    -2.50   0.013    -.0040007   -.0004737
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(309 observations deleted)
(255 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.72
       Model |  .004344507     6  .000724085           Prob > F      =  0.0002
    Residual |  .030088583   196  .000153513           R-squared     =  0.1262
-------------+------------------------------           Adj R-squared =  0.0994
       Total |  .034433091   202  .000170461           Root MSE      =  .01239

------------------------------------------------------------------------------
   reNG2011M |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0505869   .1093449     0.46   0.644    -.1650567    .2662306
       reLib |   .0358918   .0582609     0.62   0.539    -.0790069    .1507906
     reTnote |  -.0125727   .0593423    -0.21   0.832    -.1296042    .1044588
        reCR |   .8050701   .1615534     4.98   0.000      .486464    1.123676
       reBDI |  -.0038565   .0337163    -0.11   0.909    -.0703497    .0626368
   reCL2011M |  -.4144016   .1135594    -3.65   0.000    -.6383567   -.1904465
       _cons |  -.0022018   .0008801    -2.50   0.013    -.0039375   -.0004662
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(331 observations deleted)
(276 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.61
       Model |  .004087165     6  .000681194           Prob > F      =  0.0002
    Residual |  .028960706   196  .000147759           R-squared     =  0.1237
-------------+------------------------------           Adj R-squared =  0.0968
       Total |  .033047872   202  .000163603           Root MSE      =  .01216

------------------------------------------------------------------------------
   reNG2011N |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0435816    .107247     0.41   0.685    -.1679245    .2550878
       reLib |   .0327263   .0571556     0.57   0.568    -.0799927    .1454453
     reTnote |  -.0132814   .0582219    -0.23   0.820    -.1281032    .1015404
        reCR |    .777638    .157596     4.93   0.000     .4668365    1.088439
       reBDI |  -.0033414   .0330801    -0.10   0.920      -.06858    .0618972
   reCL2011N |   -.397012   .1115073    -3.56   0.000    -.6169201   -.1771039
       _cons |  -.0021593   .0008634    -2.50   0.013    -.0038621   -.0004566
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(351 observations deleted)
(296 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.50
       Model |  .003901509     6  .000650251           Prob > F      =  0.0003
    Residual |  .028318272   196  .000144481           R-squared     =  0.1211
-------------+------------------------------           Adj R-squared =  0.0942
       Total |  .032219781   202  .000159504           Root MSE      =  .01202

------------------------------------------------------------------------------
   reNG2011Q |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0448948   .1060449     0.42   0.672    -.1642408    .2540303
       reLib |   .0309748   .0565202     0.55   0.584     -.080491    .1424406
     reTnote |  -.0162475   .0575744    -0.28   0.778    -.1297924    .0972973
        reCR |   .7556707   .1548871     4.88   0.000     .4502114     1.06113
       reBDI |  -.0024729   .0327121    -0.08   0.940    -.0669857    .0620399
   reCL2011Q |  -.3878355   .1103797    -3.51   0.001    -.6055198   -.1701513
       _cons |  -.0021489   .0008538    -2.52   0.013    -.0038326   -.0004652
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(374 observations deleted)
(319 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.43
       Model |  .003783386     6  .000630564           Prob > F      =  0.0003
    Residual |  .027871662   196  .000142202           R-squared     =  0.1195
-------------+------------------------------           Adj R-squared =  0.0926
       Total |  .031655048   202  .000156708           Root MSE      =  .01192

------------------------------------------------------------------------------
   reNG2011U |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0425903   .1052295     0.40   0.686    -.1649371    .2501178
       reLib |   .0298494   .0560776     0.53   0.595    -.0807435    .1404424
     reTnote |  -.0174751   .0571216    -0.31   0.760     -.130127    .0951768
        reCR |   .7409919   .1528282     4.85   0.000     .4395931    1.042391
       reBDI |  -.0023746   .0324552    -0.07   0.942    -.0663809    .0616317
   reCL2011U |  -.3809419   .1097751    -3.47   0.001    -.5974339   -.1644499
       _cons |  -.0021417    .000847    -2.53   0.012     -.003812   -.0004713
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(395 observations deleted)
(339 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.40
       Model |  .003578221     6   .00059637           Prob > F      =  0.0003
    Residual |  .026542705   196  .000135422           R-squared     =  0.1188
-------------+------------------------------           Adj R-squared =  0.0918
       Total |  .030120926   202  .000149113           Root MSE      =  .01164

------------------------------------------------------------------------------
   reNG2011V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0435086   .1026971     0.42   0.672    -.1590246    .2460418
       reLib |   .0295382   .0547252     0.54   0.590    -.0783876    .1374639
     reTnote |  -.0183518   .0557463    -0.33   0.742    -.1282913    .0915878
        reCR |   .7153707   .1483819     4.82   0.000     .4227407    1.008001
       reBDI |  -.0022572   .0316739    -0.07   0.943    -.0647226    .0602082
   reCL2011V |   -.368747   .1073087    -3.44   0.001    -.5803748   -.1571191
       _cons |  -.0021311   .0008265    -2.58   0.011    -.0037611   -.0005011
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(416 observations deleted)
(361 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    4.05
       Model |  .002900457     6  .000483409           Prob > F      =  0.0008
    Residual |  .023396184   196  .000119368           R-squared     =  0.1103
-------------+------------------------------           Adj R-squared =  0.0831
       Total |   .02629664   202  .000130181           Root MSE      =  .01093

------------------------------------------------------------------------------
   reNG2011X |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0385356   .0964295     0.40   0.690     -.151637    .2287083
       reLib |   .0285436   .0513823     0.56   0.579    -.0727895    .1298767
     reTnote |  -.0189317   .0523409    -0.36   0.718    -.1221555     .084292
        reCR |    .633617   .1386062     4.57   0.000     .3602659    .9069681
       reBDI |   .0018702   .0297366     0.06   0.950    -.0567746    .0605151
   reCL2011X |  -.3141869   .1009418    -3.11   0.002    -.5132584   -.1151155
       _cons |  -.0020388    .000776    -2.63   0.009    -.0035692   -.0005085
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(437 observations deleted)
(686 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 1073
                delta:  1 unit
(1072 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    3.82
       Model |   .00242779     6  .000404632           Prob > F      =  0.0013
    Residual |  .020748495   196   .00010586           R-squared     =  0.1048
-------------+------------------------------           Adj R-squared =  0.0773
       Total |  .023176286   202  .000114734           Root MSE      =  .01029

------------------------------------------------------------------------------
   reNG2011Z |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0261218     .09078     0.29   0.774    -.1529092    .2051527
       reLib |   .0238091   .0483891     0.49   0.623    -.0716211    .1192392
     reTnote |  -.0178088   .0492909    -0.36   0.718    -.1150174    .0793999
        reCR |   .5690683   .1298558     4.38   0.000     .3129743    .8251624
       reBDI |   .0032345   .0280026     0.12   0.908    -.0519907    .0584597
   reCL2011Z |  -.2630447   .0951884    -2.76   0.006    -.4507697   -.0753198
       _cons |  -.0018992   .0007307    -2.60   0.010    -.0033403   -.0004581
------------------------------------------------------------------------------
(870 missing values generated)
(870 missing values generated)
(599 observations deleted)
(404 observations deleted)
(877 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    3.69
       Model |  .002198108     6  .000366351           Prob > F      =  0.0017
    Residual |  .019442407   196  .000099196           R-squared     =  0.1016
-------------+------------------------------           Adj R-squared =  0.0741
       Total |  .021640515   202  .000107131           Root MSE      =  .00996

------------------------------------------------------------------------------
   reNG2012F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0297835   .0878401     0.34   0.735    -.1434495    .2030166
       reLib |   .0195789   .0468484     0.42   0.676    -.0728127    .1119705
     reTnote |  -.0149915   .0477146    -0.31   0.754    -.1090914    .0791084
        reCR |   .5335168    .125375     4.26   0.000     .2862596    .7807739
       reBDI |   .0045071   .0271085     0.17   0.868    -.0489547    .0579688
   reCL2012F |  -.2456402   .0922921    -2.66   0.008    -.4276532   -.0636272
       _cons |  -.0018402   .0007073    -2.60   0.010    -.0032352   -.0004452
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)
(423 observations deleted)
(424 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    3.79
       Model |  .002246901     6  .000374483           Prob > F      =  0.0014
    Residual |  .019361611   196  .000098784           R-squared     =  0.1040
-------------+------------------------------           Adj R-squared =  0.0766
       Total |  .021608512   202  .000106973           Root MSE      =  .00994

------------------------------------------------------------------------------
   reNG2012G |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0269925   .0876259     0.31   0.758    -.1458181    .1998032
       reLib |   .0184756   .0467558     0.40   0.693    -.0737334    .1106846
     reTnote |  -.0145411   .0476166    -0.31   0.760    -.1084478    .0793656
        reCR |   .5369099    .124807     4.30   0.000     .2907729    .7830469
       reBDI |   .0049526   .0270524     0.18   0.855    -.0483985    .0583037
   reCL2012G |  -.2444776   .0922889    -2.65   0.009    -.4264843   -.0624709
       _cons |  -.0018598   .0007059    -2.63   0.009    -.0032519   -.0004678
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)
(443 observations deleted)
(445 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    3.68
       Model |   .00227058     6   .00037843           Prob > F      =  0.0017
    Residual |  .020153384   196  .000102823           R-squared     =  0.1013
-------------+------------------------------           Adj R-squared =  0.0737
       Total |  .022423964   202   .00011101           Root MSE      =  .01014

------------------------------------------------------------------------------
   reNG2012H |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0238585   .0893722     0.27   0.790     -.152396     .200113
       reLib |    .018667   .0477083     0.39   0.696    -.0754204    .1127544
     reTnote |  -.0137582   .0485814    -0.28   0.777    -.1095676    .0820511
        reCR |   .5354565   .1269825     4.22   0.000      .285029    .7858839
       reBDI |   .0059832   .0275998     0.22   0.829    -.0484475    .0604138
   reCL2012H |  -.2395369   .0943618    -2.54   0.012    -.4256317   -.0534422
       _cons |  -.0018257   .0007201    -2.54   0.012    -.0032459   -.0004055
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)
(465 observations deleted)
(465 observations deleted)
(0 real changes made)
        time variable:  counter, 1 to 877
                delta:  1 unit
(876 missing values generated)
(0 real changes made)
(0 real changes made)
(0 real changes made)

      Source |       SS       df       MS              Number of obs =     203
-------------+------------------------------           F(  6,   196) =    3.33
       Model |  .002098961     6  .000349827           Prob > F      =  0.0038
    Residual |  .020571082   196  .000104954           R-squared     =  0.0926
-------------+------------------------------           Adj R-squared =  0.0648
       Total |  .022670043   202  .000112228           Root MSE      =  .01024

------------------------------------------------------------------------------
   reNG2012J |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        reSP |   .0274569   .0902739     0.30   0.761     -.150576    .2054899
       reLib |   .0126996   .0482039     0.26   0.792    -.0823652    .1077644
     reTnote |  -.0135479   .0490833    -0.28   0.783     -.110347    .0832513
        reCR |   .5020379    .127824     3.93   0.000     .2499508    .7541249
       reBDI |   .0109031   .0278848     0.39   0.696    -.0440896    .0658958
   reCL2012J |  -.2174348   .0954632    -2.28   0.024    -.4057017    -.029168
       _cons |  -.0015848   .0007275    -2.18   0.031    -.0030196     -.00015
------------------------------------------------------------------------------
(674 missing values generated)
(674 missing values generated)
(note: file C:/yourdirectory/temp_compositeindex.dta not found)
file C:/yourdirectory/temp_compositeindex.dta saved
file C:/yourdirectory/output/graham_coeffs_NG_12mo.dta saved
file C:/yourdirectory/output/graham_coeffs_NG_12mo.dta saved
(results base_NG_2010V are active now)
(results nocovar_NG_2010V are active now)
(results garch_NG_2010V are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2010V.tex
dir : seeout
(results base_NG_2010X are active now)
(results nocovar_NG_2010X are active now)
(results garch_NG_2010X are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2010X.tex
dir : seeout
(results base_NG_2010Z are active now)
(results nocovar_NG_2010Z are active now)
(results garch_NG_2010Z are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2010Z.tex
dir : seeout
(results base_NG_2011F are active now)
(results nocovar_NG_2011F are active now)
(results garch_NG_2011F are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2011F.tex
dir : seeout
(results base_NG_2011G are active now)
(results nocovar_NG_2011G are active now)
(results garch_NG_2011G are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2011G.tex
dir : seeout
(results base_NG_2011H are active now)
(results nocovar_NG_2011H are active now)
(results garch_NG_2011H are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2011H.tex
dir : seeout
(results base_NG_2011J are active now)
(results nocovar_NG_2011J are active now)
(results garch_NG_2011J are active now)
C:/yourdirectory/output/tex/graham/12mo/NG_2011J.tex
dir : seeout
(results base_NG_2011K are active now)
(results nocovar_NG_2011K are active now)
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(674 observations deleted)

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     1.18
                                                      Prob > F      =   0.3179
Total (centered) SS     =  190.4587515                Centered R2   =   0.0173
Total (uncentered) SS   =  190.4587515                Uncentered R2 =   0.0173
Residual SS             =   187.160406                Root MSE      =    .9698

---------------------------------------------------------------------------------
    mean_resids |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .3017507   .9730197     0.31   0.757    -1.617002    2.220503
dummy_daybefore |   1.338591   .9731766     1.38   0.171    -.5804715    3.257653
 dummy_dayafter |   1.206395   .9731766     1.24   0.217    -.7126674    3.125457
          _cons |  -.0140233    .051841    -0.27   0.787    -.1162516    .0882049
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.10
            Prob > F =    0.7568

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    1.89
            Prob > F =    0.1705

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    1.54
            Prob > F =    0.2166

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to autocorrelation
  kernel=Bartlett; bandwidth=    24
  Automatic bw selection according to Newey-West (1994)
  time variable (t):  counter

                                                      Number of obs =      203
                                                      F(  3,   199) =     0.49
                                                      Prob > F      =   0.6906
Total (centered) SS     =  144.0924037                Centered R2   =   0.0074
Total (uncentered) SS   =  144.0924037                Uncentered R2 =   0.0074
Residual SS             =  143.0327073                Root MSE      =    .8478

---------------------------------------------------------------------------------
composite_ind~1 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
 dummy_eventday |   .3161311   .8511444     0.37   0.711    -1.362289    1.994551
dummy_daybefore |   .6576028   .8511313     0.77   0.441    -1.020791    2.335997
 dummy_dayafter |   .7360138   .8511313     0.86   0.388    -.9423802    2.414408
          _cons |  -.0084224   .0411597    -0.20   0.838    -.0895875    .0727427
---------------------------------------------------------------------------------
Included instruments: dummy_eventday dummy_daybefore dummy_dayafter
------------------------------------------------------------------------------

 ( 1)  dummy_eventday = 0

       F(  1,   199) =    0.14
            Prob > F =    0.7107

 ( 1)  dummy_daybefore = 0

       F(  1,   199) =    0.60
            Prob > F =    0.4407

 ( 1)  dummy_dayafter = 0

       F(  1,   199) =    0.75
            Prob > F =    0.3882
(1 observation deleted)
(1 observation deleted)
(1 observation deleted)

                   Shapiro-Wilk W test for normal data

    Variable |    Obs       W           V         z       Prob>z
-------------+--------------------------------------------------
composite_~1 |    200    0.98841      1.729     1.259    0.10397
Jarque-Bera normality test:  5.787 Chi(2)  .0554
Jarque-Bera test for Ho: normality: (composite_index)
file C:/yourdirectory/output/graham_kdensity_NG_compositeindex_12mo.dta saved
file C:/yourdirectory/output/graham_resids_NG_compositeindex_12mo.dta saved
file C:/yourdirectory/output/graham_kdensity_NG_compositeindex_12mo.dta saved

. 
. 
. 
. log close
      name:  <unnamed>
       log:  C:/yourdirectory/logs/estimation.log
  log type:  text
 closed on:  18 Jun 2016, 19:09:36
--------------------------------------------------------------------------------------------------------------------------
